Constrained maximum likelihood solution of linear equations

DOI10.1109/78.824663MaRDI QIDQ2734305zbMATH OpenOpenAlexFDO

Authors Paul D. Fiore, George C. Verghese

Publication date 18 November 2003

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/78.824663

zbMATH Keywords

constrained maximum likelihood estimationlinear equationsmost probable perturbationstotal least squares

Mathematics Subject Classification ID

Perturbations in control/observation systems (93C73) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

Review text

Using the method of total least squares, the authors obtain maximum likelihood solutions to a set of inconsistent linear equations of the form \(Ax\approx y\) in which errors occur not only in the observations \(y\) but also in the modelling matrix \(A\). A difficulty in this approach is that any defined structure shared by \(A\) and \(y\) may not be carried over to the perturbations, and to effect the `carrying over' of such structure the authors introduce a probabilistic framework. Given an a priori perturbation density function, this approach allows the determination of the most probable set of perturbations. Details are given of both Gaussian and non-Gaussian distributions, and the relationship of the constrained maximum likelihood method given here to existing methods is explored.

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