An improved log-likelihood gradient for continuous-time stochastic systems with deterministic input.

Robert Patton Leland

Published in: IEEE Trans. Autom. Control. (1996)

Keyphrases

log likelihood
stochastic systems
information theoretic
density estimation
maximum likelihood
scoring function
em algorithm
sample path
state space
stochastic models
markov chain
closed form
markov processes
confidence intervals
optimal control
stochastic processes
dynamical systems
active learning