On the Mortensen equation for maximum likelihood state estimation

Aihara S.; Bagchi A.

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On the Mortensen equation for maximum likelihood state estimation

机译：关于用于最大似然状态估计的Mortensen方程

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The main purpose of the paper is to formulate the maximum likelihood state estimation problem correctly for a continuous-time nonlinear stochastic dynamical system. By using the Onsager-Machlup functional, a modified likelihood is introduced. The basic equation for the maximum likelihood state estimate is derived with the aid of a dynamic programming approach. The numerical procedure for realizing the recursive filtering is also proposed with some numerical results

机译：本文的主要目的是为连续时间非线性随机动力系统正确地建立最大似然状态估计问题。通过使用Onsager-Machlup函数，引入了修改的可能性。最大似然状态估计的基本公式是借助动态编程方法得出的。给出了实现递归滤波的数值过程，并给出了一些数值结果

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《IEEE Transactions on Automatic Control》 |1999年第10期|p.1955-1961|共7页
作者
Aihara S.; Bagchi A.;
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原文格式 PDF
正文语种 eng
中图分类自动化系统;
关键词
continuous time systems; dynamic programming; filtering theory; functional equations; maximum likelihood estimation; nonlinear systems; recursive estimation; state estimation; stochastic systems; Mortensen equation; Onsager-Machlup functional; continuous-time nonli;

机译：连续时间系统;动态规划;滤波理论;函数方程;最大似然估计;非线性系统;递归估计;状态估计;随机系统;Mortensen方程;Onsager-Machlup函数;连续时间非线性;

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专利

1. On the Mortensen equation for maximum likelihood state estimation [J] . Aihara S., Bagchi A. IEEE Transactions on Automatic Control . 1999,第10期

机译：关于用于最大似然状态估计的Mortensen方程
2. Estimation Methods for the Structural Equation Models: Maximum Likelihood, Partial Least Squares and Generalized Maximum Entropy [J] . Anna CRISCI Journal of Applied Quantitative Methods . 2012,第2期

机译：结构方程模型的估计方法：最大似然，偏最小二乘和广义最大熵
3. Maximum Log Likelihood Estimation using EM Algorithm and Partition Maximum Log Likelihood Estimation for Mixtures of Generalized Lambda Distributions [J] . Steve Su Journal of Modern Applied Statistical Methods . 2011,第2期

机译：使用EM算法的最大对数似然估计和广义Lambda分布混合的分区最大对数似然估计
4. Maximum likelihood parameter estimation from incomplete data via the sensitivity equations: the continuous-time case [C] . Charalambous, C.D. . 1999

机译：通过灵敏度方程式从不完整数据估计最大似然参数：连续时间情况
5. New Methods for Solving Maximum Likelihood Estimating Equations of Logistic and Probit Regression Models [D] . Wang, Haoyu 2011

机译：Logistic和Probit回归模型的最大似然估计方程的求解新方法
6. A Framework for the Comparison of Maximum Pseudo Likelihood and Maximum Likelihood Estimation of Exponential Family Random Graph Models [O] . Marijtje A.J. van Duijn, Krista J. Gile, Mark S. Handcock -1

机译：指数族随机图模型的最大伪似然和最大似然估计的比较框架
7. Maximum Log Likelihood Estimation using EM Algorithm and Partition Maximum Log Likelihood Estimation for Mixtures of Generalized Lambda Distributions [O] . Su Steve 2011

机译：基于Em算法和广义Lambda分布混合的分区最大对数似然估计的最大对数似然估计
8. Maximum Likelihood Estimation of Stochastic Linear Difference Equations with Autoregressive Moving Average Errors. [R] . Reinsel, G. 1976

机译：具有自回归滑动平均误差的随机线性差分方程的极大似然估计。

On the Mortensen equation for maximum likelihood state estimation

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