A new method for evaluating the log-likelihood gradient (score) of linear dynamic systems
- 1 January 1988
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 33 (8) , 763-766
- https://doi.org/10.1109/9.1295
Abstract
A novel method is presented that is based on the optimal smoothing equations. The result can be used for efficient calculations and approximations of gradient-search algorithms for maximum-likelihood estimation of the unknown system parameters. The method is applied to the continuous-discrete case.Keywords
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