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International Federation of Automatic Control (IFAC), IFAC papers online, 2(41), p. 4012-4017, 2008

DOI: 10.3182/20080706-5-kr-1001.00675

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Parameter estimation for discrete-time nonlinear systems using EM

Journal article published in 2008 by Ag G. Wills, Tb B. Schon ORCID, Bm Ninness, Wills Adrian
This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

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Abstract

In this paper we consider parameter estimation of general stochastic nonlinear state-space models using the Maximum Likelihood method. This is accomplished via the employment of an Expectation Maximisation algorithm, where the essential components involve a particle smoother for the expectation step, and a gradient-based search for the maximisation step. The utility of this method is illustrated with several nonlinear and non-Gaussian examples. Copyright © 2007 International Federation of Automatic Control All Rights Reserved.