LiU startsida
EM for Linear System Identification
The aim of the code is to show how the EM algorithm can be used in the context of dynamic systems and hence, the example solved is very specific in order to illustrate the technique. If you are interested in more general code, have a look at the UNIT toolbox, which can be downloaded here.
MATLAB code
Click here to download the MATLAB code.
Relevant paper
All the details explaining the use of the expectation maximization (EM) algorithm for solving this particular example are provided in the follwing technical report,
Thomas B. Schön, An Explanation of the Expectation Maximization Algorithm. Division of Automatic Control, Linköping University, Sweden, Technical Report nr: LiTH-ISY-R-2915, August 2009. [pdf]
Associate Professor in Automatic Control
- Phone:
- +46 13 281373
- Mobile (private):
- +46 735 933 887
- E-mail:
- schon_at_isy.liu.se
- Address:
- Dept. of Electrical Engineering
- Linköping University
- SE-581 83 Linköping
- Sweden
- Visiting Address:
- Campus Valla
- Building B
- Room 2A:NNN (in the A corridor on the ground floor between entrance 25 and 27)
Page responsible: Thomas Schön
Last updated: 2012-10-13
