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Alternating minimization for simultaneous estimation of a latent variable and identification of a linear continuous-time dynamic system
- Publication Year :
- 2023
-
Abstract
- We propose an optimization formulation for the simultaneous estimation of a latent variable and the identification of a linear continuous-time dynamic system, given a single input-output pair. We justify this approach based on Bayesian maximum a posteriori estimators. Our scheme takes the form of a convex alternating minimization, over the trajectories and the dynamic model respectively. We prove its convergence to a local minimum which verifies a two point-boundary problem for the (latent) state variable and a tensor product expression for the optimal dynamics.
- Subjects :
- Mathematics - Optimization and Control
49N10, 93B30, 62F15
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2306.16150
- Document Type :
- Working Paper