TY - JOUR
T1 - Accurate and fast parameter identification of conditionally Gaussian Markov jump linear system with input control
AU - Li, Haoyu
AU - Zhang, Ke
N1 - Publisher Copyright:
© 2021
PY - 2022/3
Y1 - 2022/3
N2 - Identifying the Markov jump systems accurately and rapidly is a challenging task due to the complexity of hidden state expectation exponentially increases along with the data length. This paper presents a special non-homogeneous and non-stationary linear Markov jump system with input control, where the hidden states are tractable, thus implementing optimal hidden state estimator is practical. A parameter identification algorithm relies on the optimal estimator and expectation–maximization (EM) algorithm is proposed for this special model, meanwhile, the local optima problem of EM is moderated via proper method. Numerical examples show the proposed algorithm can rapidly approximate the parameters that well describe the data, and outperforms other related approaches.
AB - Identifying the Markov jump systems accurately and rapidly is a challenging task due to the complexity of hidden state expectation exponentially increases along with the data length. This paper presents a special non-homogeneous and non-stationary linear Markov jump system with input control, where the hidden states are tractable, thus implementing optimal hidden state estimator is practical. A parameter identification algorithm relies on the optimal estimator and expectation–maximization (EM) algorithm is proposed for this special model, meanwhile, the local optima problem of EM is moderated via proper method. Numerical examples show the proposed algorithm can rapidly approximate the parameters that well describe the data, and outperforms other related approaches.
KW - EM algorithm
KW - Linear Markov jump system
KW - Optimal parameter identification
KW - System identification
UR - http://www.scopus.com/inward/record.url?scp=85121963297&partnerID=8YFLogxK
U2 - 10.1016/j.automatica.2021.109928
DO - 10.1016/j.automatica.2021.109928
M3 - 文章
AN - SCOPUS:85121963297
SN - 0005-1098
VL - 137
JO - Automatica
JF - Automatica
M1 - 109928
ER -