Joint maximum \textit{a posteriori} state path and parameter estimation in stochastic differential equations

DOI10.1016/J.AUTOMATICA.2017.03.035zbMATH Open1372.93192arXiv1704.01670OpenAlexW2609328256MaRDI QIDQ2409264FDOQ2409264

Authors: Dimas Abreu Dutra, Bruno Otávio Soares Teixeira, Luis Antonio Aguirre 

Publication date: 11 October 2017

Published in: Automatica (Search for Journal in Brave)

Abstract: In this article, we introduce the joint maximum a posteriori state path and parameter estimator (JME) for continuous-time systems described by stochastic differential equations (SDEs). This estimator can be applied to nonlinear systems with discrete-time (sampled) measurements with a wide range of measurement distributions. We also show that the minimum-energy state path and parameter estimator (MEE) obtains the joint maximum a posteriori noise path, initial conditions, and parameters. These estimators are demonstrated in simulated experiments, in which they are compared to the prediction error method (PEM) using the unscented Kalman filter and smoother. The experiments show that the MEE is biased for the damping parameters of the drift function. Furthermore, for robust estimation in the presence of outliers, the JME attains lower state estimation errors than the PEM.

Full work available at URL: https://arxiv.org/abs/1704.01670

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zbMATH Keywords

parameter estimationoptimization problemsstate estimationstochastic systemsestimation theory

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Nonlinear systems in control theory (93C10) Sampled-data control/observation systems (93C57) Estimation and detection in stochastic control theory (93E10)

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Cited In (3)

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• Maximum a posteriori state path estimation: discretization limits and their interpretation

Uses Software

• Ipopt
• SOCS

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