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EM for Nonlinear System Identification

The aim of this code is illustrate how the Expectation Maximization (EM) algorithm can be used together with a particle smoother in order to solve some problems in nonlinear system identification.


MATLAB code

Click here to download the MATLAB code.

Relevant paper

All the details explaining the use of the expectation maximization (EM) algorithm for identification of nonlinear dynamical systems are provided in the following paper,

Thomas B. Schön, Adrian Wills and Brett Ninness. System Identification of Nonlinear State-Space Models. Automatica, 47(1):39-49, January 2011. [pdf] [Automatica] [BibTeX]

Thomas Schön

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)


Informationsansvarig: Thomas Schön
Senast uppdaterad: 2012-10-13