An improved log-likelihood gradient for continuous-time stochastic systems with deterministic input

DOI10.1109/9.533686zbMATH Open0861.93035OpenAlexW2159766901MaRDI QIDQ4896792

Robert P. Leland

Publication date: 3 December 1996

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

Full work available at URL: https://doi.org/10.1109/9.533686

zbMATH Keywords

smootherKalman filterRadon-Nikodym derivativecovariance operatorHamiltonian form

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Identification in stochastic control theory (93E12)

Related Items (1)

Gradient of the log-likelihood ratio for infinite-dimensional stochastic systems

This page was built for publication: An improved log-likelihood gradient for continuous-time stochastic systems with deterministic input

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4896792)