Joint maximum \textit{a posteriori} state path and parameter estimation in stochastic differential equations

DOI10.1016/j.automatica.2017.03.035zbMath1372.93192arXiv1704.01670OpenAlexW2609328256MaRDI QIDQ2409264

Dimas Abreu Archanjo Dutra, Bruno Otávio Soares Teixeira, Luis Antonio Aguirre

Publication date: 11 October 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.01670

zbMATH Keywords

parameter estimationstate estimationoptimization problemsstochastic systemsestimation theory

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Sampled-data control/observation systems (93C57) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Uncertainty estimation in equality-constrained MAP and maximum likelihood estimation with applications to system identification and state estimation

Uses Software

• Ipopt
• SOCS

Cites Work

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