DocumentCode :
3106520
Title :
Approximate EM Algorithms for Parameter and State Estimation in Nonlinear Stochastic Models
Author :
Goodwin, Graham C. ; Agüero, Juan C.
Author_Institution :
Fellow, IEEE, University of Newcastle, Newcastle, Australia. Email Addresse: Graham.Goodwin@newcastle.edu.au
fYear :
2005
fDate :
12-15 Dec. 2005
Firstpage :
368
Lastpage :
373
Abstract :
Due to the availability of rapidly improving computer speeds, industry is increasingly using nonlinear process models in calculations that appear further down the control hierarchy. Indeed, nonlinear models are now frequently used for real-time control calculations. This trend means that there is growing interest in the availability of high speed state and parameter estimation algorithms for nonlinear models. One family of algorithms that can be used for this purpose is based on the, so called, Expectation Maximization Scheme. Unfortunately, in its basic form, this algorithm requires large computational resources. In this paper we review the EM algorithm and propose several approximate schemes aimed at retaining the essential flavour of this class of algorithm whilst ensuring that the computations are tractable. We will also compare the EM algorithm with several simpler schemes via a number of examples and comment on the trade-offs that occur.
Keywords :
Availability; Computer industry; Industrial control; Linear systems; Marine vehicles; Mathematical model; Parameter estimation; State estimation; Stochastic processes; Time measurement;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN :
0-7803-9567-0
Type :
conf
DOI :
10.1109/CDC.2005.1582183
Filename :
1582183
Link To Document :
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