By Mohammad Ramadan and Robert Bitmead

A Maximum Likelihood recursive state estimator is derived for non-linear and non-Gaussian state-space models. The estimator combines a particle filter to generate the conditional density and the Expectation Maximization algorithm to compute the maximum likelihood state estimate iteratively. Algorithms for maximum likelihood state filtering, prediction and smoothing are presented. The... Show more

March 18, 2021

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Maximum Likelihood Recursive State Estimation using the Expectation Maximization Algorithm

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