Iterative parameter estimate with batched binary-valued observations

doi:10.1007/s11432-015-5304-z

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	Iterative parameter estimate with batched binary-valued observations
	Zhao, Yanlong; Bi, Wenjian; Wang, Ting
	2016-05-01
发表期刊	SCIENCE CHINA-INFORMATION SCIENCES
ISSN	1674-733X
卷号	59 期号:5 页码:18
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.
关键词	Binary-valued observation maximum likelihood estimate strongly convex system identification exponential rate
DOI	10.1007/s11432-015-5304-z
语种	英语
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
WOS类目	Computer Science, Information Systems
WOS记录号	WOS:000375885400019
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/22716
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.