Likelihood Gradient Evaluation Using Square-Root Covariance Filters

DOI10.1109/TAC.2008.2010989MaRDI QIDQ4974504zbMATH OpenFDO

Authors

Publication date 8 August 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.06654

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Discrete-time control/observation systems (93C55) Filtering in stochastic control theory (93E11)

Abstract: Using the array form of numerically stable square-root implementation methods for Kalman filtering formulas, we construct a new square-root algorithm for the log-likelihood gradient (score) evaluation. This avoids the use of the conventional Kalman filter with its inherent numerical instabilities and improves the robustness of computations against roundoff errors. The new algorithm is developed in terms of covariance quantities and based on the "condensed form" of the array square-root filter.

Cited in

(15)

• Maximum likelihood estimation via the extended covariance and combined square-root filters
• High-order accurate continuous-discrete extended Kalman filter for chemical engineering
• On the computation of derivatives within LD factorization of parametrized matrices
• A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems
• Accurate state estimation of stiff continuous-time stochastic models in chemical and other engineering
• A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations
• Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering
• Estimating the state in stiff continuous-time stochastic systems within extended Kalman filtering
• On efficient parametric identification methods for linear discrete stochastic systems
• Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
• A cubatureH_∞filter and its square-root version
• Computing the gradient of the auxiliary quality functional in the parametric identification problem for stochastic systems
• Square-root Kalman-like filters for estimation of stiff continuous-time stochastic systems with ill-conditioned measurements
• Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods
• Differentiating matrix orthogonal transformations

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