Online Maximum-Likelihood Estimation of the Parameters of Partially Observed Diffusion Processes

DOI10.1109/TAC.2018.2880404MaRDI QIDQ5223793zbMATH OpenOpenAlexWikidataFDO

Authors Simone Carlo Surace, Jean-Pascal Pfister

Publication date 18 July 2019

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

Full work available at URL https://arxiv.org/abs/1611.00170

Mathematics Subject Classification ID

Point estimation (62F10) Diffusion processes (60J60) Estimation and detection in stochastic control theory (93E10)

Abstract: We revisit the problem of estimating the parameters of a partially observed diffusion process, consisting of a hidden state process and an observed process, with a continuous time parameter. The estimation is to be done online, i.e. the parameter estimate should be updated recursively based on the observation filtration. We provide a theoretical analysis of the stochastic gradient ascent algorithm on the incomplete-data log-likelihood. The convergence of the algorithm is proved under suitable conditions regarding the ergodicity of the process consisting of state, filter, and tangent filter. Additionally, our parameter estimation is shown numerically to have the potential of improving suboptimal filters, and can be applied even when the system is not identifiable due to parameter redundancies. Online parameter estimation is a challenging problem that is ubiquitous in fields such as robotics, neuroscience, or finance in order to design adaptive filters and optimal controllers for unknown or changing systems. Despite this, theoretical analysis of convergence is currently lacking for most of these algorithms. This article sheds new light on the theory of convergence in continuous time.

Cited in

(8)

• Stochastic gradient descent in continuous time: a central limit theorem
• Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
• Online drift estimation for jump-diffusion processes
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations
• Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
• Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement

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