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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]

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