A new formula for the log-likelihood gradient for continuous-time stochastic systems

DOI10.1109/9.400472zbMath0839.93067OpenAlexW2164046402MaRDI QIDQ4850269

Robert Patton Leland

Publication date: 9 October 1995

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.400472

zbMATH Keywords

smootherparameter estimationKalman filterlog-likelihood ratiocontinuous-time linear stochastic system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14)

Related Items (1)

Gradient estimation for discrete-event systems by measure-valued differentiation

This page was built for publication: A new formula for the log-likelihood gradient for continuous-time stochastic systems