%AAubin_Frankowski, Pierre_Cyril%ABensoussan, Alain%AQin, S_Joe%BJournal Name: Communications in optimization theory
%D2023%IMathematical Research Press
%JJournal Name: Communications in optimization theory
%K
%MOSTI ID: 10523908
%PMedium: X
%TAlternating minimization for simultaneous estimation of a latent variable and identification of a linear continuous-time dynamic system
%XWe 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.
%0Journal Article