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Title: Alternating minimization for simultaneous estimation of a latent variable and identification of a linear continuous-time dynamic system
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.  more » « less
Award ID(s):
2204795
NSF-PAR ID:
10523908
Author(s) / Creator(s):
; ;
Publisher / Repository:
Mathematical Research Press
Date Published:
Journal Name:
Communications in optimization theory
ISSN:
2051-2953
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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