Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations.
Quentin ClaironAdeline SamsonPublished in: Comput. Stat. (2022)
Keyphrases
- parameter estimation
- optimal control
- partially observed
- brownian motion
- stochastic differential equations
- dynamic programming
- maximum likelihood
- least squares
- em algorithm
- markov random field
- model selection
- control strategy
- infinite horizon
- expectation maximization
- random fields
- approximate inference
- reinforcement learning
- maximum a posteriori estimation
- stochastic process
- multiscale
- similarity measure