Alternating minimization for simultaneous estimation of a latent variable and identification of a linear continuous-time dynamic system
Optimization and Control
2023-06-29 v1
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.
Keywords
Cite
@article{arxiv.2306.16150,
title = {Alternating minimization for simultaneous estimation of a latent variable and identification of a linear continuous-time dynamic system},
author = {Pierre-Cyril Aubin-Frankowski and Alain Bensoussan and S. Joe Qin},
journal= {arXiv preprint arXiv:2306.16150},
year = {2023}
}