Online EM algorithm for jump Markov systems

2012-07-09
Zhao, Yuxin
Yin, Feng
Gunnarsson, Fredrik
Amirijoo, Mehdi
Özkan, Emre
Gustafsson, Fredrik
The Expectation-Maximization (EM) algorithm in combination with particle filters is a powerful tool that can solve very complex problems, such as parameter estimation in general nonlinear non-Gaussian state space models. We here apply the recently proposed online EM algorithm to parameter estimation in jump Markov models, that contain both continuous and discrete states. In particular, we focus on estimating process and measurement noise distributions being modeled as mixtures of members from the exponential family.
Citation Formats
Y. Zhao, F. Yin, F. Gunnarsson, M. Amirijoo, E. Özkan, and F. Gustafsson, “Online EM algorithm for jump Markov systems,” presented at the 15th International Conference on Information Fusion, (2012), Singapore, 2012, Accessed: 00, 2021. [Online]. Available: http://ieeexplore.ieee.org/lpdocs/epic03/wrapper.htm?arnumber=5712016.