Particle filter as a controlled Markov chain for on-line parameter estimation in general state space models
In this paper we present a novel optimization method for on-line maximum likelihood estimation (MLE) of the static parameters of a general state space model. Our approach is based on viewing the particle filter as a controlled Markov chain, where the control is the unknown static parameters to be id...
| Main Authors: | , , , |
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| Format: | Conference item |
| Published: |
2006
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