Sigma-Point Filtering and Smoothing Based Parameter Estimation in Nonlinear Dynamic Systems

Abstract

We consider approximate maximum likelihood parameter estimation in nonlinear state-space models. We discuss both direct optimization of the likelihood and expectation--maximization (EM). For EM, we also give closed-form expressions for the maximization step in a class of models that are linear in parameters and have additive noise. To obtain approximations to the filtering and smoothing distributions needed in the likelihood-maximization methods, we focus on using Gaussian filtering and smoothing algorithms that employ sigma-points to approximate the required integrals. We discuss different sigma-point schemes based on the third, fifth, seventh, and ninth order unscented transforms and the Gauss--Hermite quadrature rule. We compare the performance of the methods in two simulated experiments: a univariate nonlinear growth model as well as tracking of a maneuvering target. In the experiments, we also compare against approximate likelihood estimates obtained by particle filtering and extended Kalman filtering based methods. The experiments suggest that the higher-order unscented transforms may in some cases provide more accurate estimates

Revised version. 14 pages, 11 figures. Submitted to Journal of Advances in Information Fusion

Cited by in corpus (5)

• Magnetometer calibration using inertial sensors
• Variational Inference with Parameter Learning Applied to Vehicle Trajectory Estimation
• Gaussian Variational State Estimation for Nonlinear State-Space Models
• Double Bayesian Smoothing as Message Passing
• End-to-End Probabilistic Inference for Nonstationary Audio Analysis