• DocumentCode
    822633
  • Title

    Efficient computation of gradient and hessian of likelihood function in linear dynamic systems

  • Author

    Gupta, Narendra K.

  • Author_Institution
    Systems Control, Incorporated, Palo Alto, CA, USA
  • Volume
    21
  • Issue
    5
  • fYear
    1976
  • fDate
    10/1/1976 12:00:00 AM
  • Firstpage
    781
  • Lastpage
    783
  • Abstract
    This technical note describes a computationally efficient procedure to determine the first and second gradients of the likelihood function for parameter estimation in linear dynamic systems. The results presented here are extensions, of the sensitivity functions reduction procedure of [1]. An operation count shows the value of the new algorithm.
  • Keywords
    Linear systems, stochastic continuous-time; Parameter estimation; maximum-likelihood (ML) estimation; Automatic control; Autoregressive processes; Control systems; Difference equations; H infinity control; Least squares methods; Linear systems; Maximum likelihood estimation; Parameter estimation; Stochastic processes;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1976.1101359
  • Filename
    1101359
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=822633