A new formula for the log-likelihood gradient for continuous-time stochastic systems.
Robert Patton LelandPublished in: IEEE Trans. Autom. Control. (1995)
Keyphrases
- log likelihood
- stochastic systems
- markov chain
- stochastic models
- information theoretic
- sample path
- density estimation
- confidence intervals
- maximum likelihood
- em algorithm
- stochastic processes
- scoring function
- optimal control
- dynamical systems
- closed form
- markov processes
- state space
- parameter estimation
- chaotic systems
- feature extraction
- stochastic model
- monte carlo
- model selection
- semi supervised
- high dimensional