IEEE Transactions on Automatic Control, Vol.41, No.8, 1207-1210, 1996
An Improved Log-Likelihood Gradient for Continuous-Time Stochastic-Systems with Deterministic Input
Using a covariance operator approach, we derive an explicit expression for the log-likelihood ratio gradient for system parameter estimation for continuous-time stochastic systems with deterministic inputs. The gradient formula includes the smoother estimates and derivatives of system matrices with no derivatives of estimates or covariance matrices. A deterministic input is also permitted, and the state noise covariance is not required to be nonsingular. Stable numerical techniques to calculate the gradient are also discussed.
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