Recursive Maximum Likelihood Identification of Jump Markov Nonlinear Systems

DOI10.1109/TSP.2014.2385039MaRDI QIDQ4579725zbMATH OpenFDO

Authors Emre Özkan, Fredrik Lindsten, Carsten Fritsche, Fredrik Gustafsson

Publication date 22 August 2018

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

Full work available at URL https://arxiv.org/abs/1312.0781

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: In this contribution, we present an online method for joint state and parameter estimation in jump Markov non-linear systems (JMNLS). State inference is enabled via the use of particle filters which makes the method applicable to a wide range of non-linear models. To exploit the inherent structure of JMNLS, we design a Rao-Blackwellized particle filter (RBPF) where the discrete mode is marginalized out analytically. This results in an efficient implementation of the algorithm and reduces the estimation error variance. The proposed RBPF is then used to compute, recursively in time, smoothed estimates of complete data sufficient statistics. Together with the online expectation maximization algorithm, this enables recursive identification of unknown model parameters. The performance of the method is illustrated in simulations and on a localization problem in wireless networks using real data.

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• Estimation of jump Box-Jenkins models
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• Mode separability-based state estimation for uncertain constrained dynamic systems
• Recursive estimation for Markov jump linear systems with unknown transition probabilities: a compensation approach
• Recursive maximum likelihood identification of a non-linear output-affine model
• Maximum Likelihood Estimation of Transition Probabilities of Jump Markov Linear Systems
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• RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
• A randomized method for the identification of switched NARX systems
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