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Optimal simultaneous maximum a posterioriestimation of states, noise statistics and parameters I. Algorithm

Sastry, D and Gauvrit, M (1980) Optimal simultaneous maximum a posterioriestimation of states, noise statistics and parameters I. Algorithm. In: International Journal of Systems Science, 11 (11). 1351 -1381.

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Abstract

The simultaneous state and parameter estimation problem for a linear discrete-time system with unknown noise statistics is treated as a large-scale optimization problem. The a posterioriprobability density function is maximized directly with respect to the states and parameters subject to the constraint of the system dynamics. The resulting optimization problem is too large for any of the standard non-linear programming techniques and hence an hierarchical optimization approach is proposed. It turns out that the states can be computed at the first levelfor given noise and system parameters. These, in turn, are to be modified at the second level.The states are to be computed from a large system of linear equations and two solution methods are considered for solving these equations, limiting the horizon to a suitable length. The resulting algorithm is a filter-smoother, suitable for off-line as well as on-line state estimation for given noise and system parameters. The second level problem is split up into two, one for modifying the noise statistics and the other for modifying the system parameters. An adaptive relaxation technique is proposed for modifying the noise statistics and a modified Gauss-Newton technique is used to adjust the system parameters.

Item Type: Journal Article
Additional Information: Copyright of this article belongs to Taylor & Francis Ltd
Department/Centre: Division of Information Sciences > Supercomputer Education & Research Centre
Date Deposited: 20 Jan 2010 09:53
Last Modified: 19 Sep 2010 05:43
URI: http://eprints.iisc.ernet.in/id/eprint/22785

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