Sökning: WFRF:(Lindsten Fredrik 1984 ) >
Recursive Maximum L...
Recursive Maximum Likelihood Identification of Jump Markov Nonlinear Systems
-
- Özkan, Emre (författare)
- Linköpings universitet,Reglerteknik,Tekniska högskolan
-
- Lindsten, Fredrik, 1984- (författare)
- University of Cambridge, England
-
- Fritsche, Carsten (författare)
- Linköpings universitet,Reglerteknik,Tekniska högskolan
-
visa fler...
-
- Gustafsson, Fredrik (författare)
- Linköpings universitet,Reglerteknik,Tekniska högskolan
-
visa färre...
-
(creator_code:org_t)
- Institute of Electrical and Electronics Engineers (IEEE), 2015
- 2015
- Engelska.
-
Ingår i: IEEE Transactions on Signal Processing. - : Institute of Electrical and Electronics Engineers (IEEE). - 1053-587X .- 1941-0476. ; 63:3, s. 754-765
- Relaterad länk:
-
https://urn.kb.se/re...
-
visa fler...
-
https://doi.org/10.1...
-
visa färre...
Abstract
Ämnesord
Stäng
- We present an online method for joint state and parameter estimation in jump Markov non-linear systems (JMNLS). State inference is enabled via the use of particle filters which makes the method applicable to a wide range of non-linear models. To exploit the inherent structure of JMNLS, we design a Rao-Blackwellized particle filter (RBPF) where the discrete mode is marginalized out analytically. This results in an efficient implementation of the algorithm and reduces the estimation error variance. The proposed RBPF is then used to compute, recursively in time, smoothed estimates of complete data sufficient statistics. Together with the online expectation maximization algorithm, this enables recursive identification of unknown model parameters including the transition probability matrix. The method is also applicable to online identification of jump Markov linear systems(JMLS). The performance of the method is illustrated in simulations and on a localization problem in wireless networks using real data.
Ämnesord
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering (hsv//eng)
Nyckelord
- Adaptive filtering; expectation maximization; identification; jump Markov systems; parameter estimation; particle filter; Rao-Blackwellization; transition probability estimation
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
Hitta via bibliotek
Till lärosätets databas