A particle stochastic approximation EM algorithm to identify jump Markov nonlinear models

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26620%2F18%3APU128432" target="_blank" >RIV/00216305:26620/18:PU128432 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1016/j.ifacol.2018.09.205" target="_blank" >http://dx.doi.org/10.1016/j.ifacol.2018.09.205</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ifacol.2018.09.205" target="_blank" >10.1016/j.ifacol.2018.09.205</a>

Result language

angličtina

Original language name

A particle stochastic approximation EM algorithm to identify jump Markov nonlinear models

Original language description

The identification of static parameters in jump Markov nonlinear models (JMNMs) poses a key challenge in explaining nonlinear and abruptly changing behavior of dynamical systems. This paper introduces a stochastic approximation expectation maximization algorithm to facilitate offline maximum likelihood parameter estimation in JMNMs. The method relies on the construction of a particle Gibbs kernel that takes advantage of the inherent structure of the model to increase the efficiency through Rao-Blackwellization. Numerical examples illustrate that the proposed solution outperforms related approaches.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

—

OECD FORD branch

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Project

<a href="/en/project/LQ1601" target="_blank" >LQ1601: CEITEC 2020</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Proceedings of the 18th Symposium on System Identification, SYSID 2018

ISBN

—

ISSN

2405-8963

e-ISSN

—

Number of pages

6

Pages from-to

676-681

Publisher name

International Federation of Automatic Control (IFAC)

Place of publication

Neuveden

Event location

Stockholm

Event date

Jul 9, 2018

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000446599200115