Iterative parameter estimate with batched binary-valued observations
文献类型：期刊论文
| 作者 | Zhao, Yanlong ; Bi, Wenjian; Wang, Ting
|
| 刊名 | SCIENCE CHINA-INFORMATION SCIENCES
 |
| 出版日期 | 2016-05-01 |
| 卷号 | 59期号:5页码:18 |
| 关键词 | Binary-valued observation maximum likelihood estimate strongly convex system identification exponential rate |
| ISSN号 | 1674-733X |
| DOI | 10.1007/s11432-015-5304-z |
| 英文摘要 | In this paper, we consider linear system identification with batched binary-valued observations. We constructed an iterative parameter estimate algorithm to achieve the maximum likelihood (ML) estimate. The first interesting result was that there exists at most one finite ML solution for this specific maximum likelihood problem, which was induced by the fact that the Hessian matrix of the log-likelihood function was negative definite under binary data and Gaussian system noises. The global concave property and local strongly concave property of the log-likelihood function were obtained. Under mild conditions on the system input, we proved that the ML function has a unique maximum point. The second main result was that the ML estimate was consistent under persistent excitation inputs, which infers the effectiveness of ML estimate. Finally, the proposed iterative estimate algorithm converged to a fixed vector with an exponential rate that was proved by constructing a Lyapunov function. A more interesting result was that the limit of the iterative algorithm achieved the maximization of the ML function. Numerical simulations are illustrated to support the theoretical results obtained in this paper well. |
| 资助项目 | National Natural Science Foundation of China[61174042] ; National Natural Science Foundation of China[11171333] ; National Basic Research Program of China (973 Program)[2014CB845301] |
| WOS研究方向 | Computer Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000375885400019 |
| 出版者 | SCIENCE PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/22715]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhao, Yanlong |
| 作者单位 | Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhao, Yanlong,Bi, Wenjian,Wang, Ting. Iterative parameter estimate with batched binary-valued observations[J]. SCIENCE CHINA-INFORMATION SCIENCES,2016,59(5):18. |
| APA | Zhao, Yanlong,Bi, Wenjian,&Wang, Ting.(2016).Iterative parameter estimate with batched binary-valued observations.SCIENCE CHINA-INFORMATION SCIENCES,59(5),18. |
| MLA | Zhao, Yanlong,et al."Iterative parameter estimate with batched binary-valued observations".SCIENCE CHINA-INFORMATION SCIENCES 59.5(2016):18. |
入库方式： OAI收割
来源：数学与系统科学研究院
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