L₁-optimal filtering of Markov jump processes. III: Identification of system parameters

DOI10.1134/S00051179220110054MaRDI QIDQ2689632zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 13 March 2023

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s00051179220110054

zbMATH Keywords

\( \mathcal{L}_1\)-optimal estimateEM algorithmhidden Markov modelmultiplicative noise in observationssmoothing on fixed observation interval

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

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Cited in

(4)

• Accurate and fast parameter identification of conditionally Gaussian Markov jump linear system with input control
• \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes
• A variational approach to path estimation and parameter inference of hidden diffusion processes
• A novel system identification algorithm for nonlinear Markov jump system

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