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49th IEEE Conference on Decision and Control (CDC)

DOI: 10.1109/cdc.2010.5717145

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Estimating state-space models in innovations form using the expectation maximisation algorithm

Proceedings article published in 2010 by Adrian Wills, Thomas B. Schön ORCID, Brett Ninness
This paper is available in a repository.
This paper is available in a repository.

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Abstract

The expectation maximisation (EM) algorithm has proven to be effective for a range of identification problems. Unfortunately, the way in which the EM algorithm has previously been applied has proven unsuitable for the commonly employed innovations form model structure. This paper addresses this problem, and presents a previously unexamined method of EM algorithm employment. The results are profiled, which indicate that a hybrid EM/gradient-search technique may in some cases outperform either a pure EM or a pure gradient-based search approach.