Sigma-Point Filtering and Smoothing Based Parameter Estimation in Nonlinear Dynamic Systems

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1 June 2016
Juho Kokkala, Arno Solin, Simo Sarkka

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We consider approximate maximum likelihood parameter estimation in nonlinear state-space models. We discuss both direct optimization of the likelihood and expectation-maximization (EM). For EM, we also give closed-form expressions for the maximization step in a class of models that are linear in parameters and have additive noise. To obtain approximations to the filtering and smoothing distributions needed in the likelihood-maximization methods, we focus on using Gaussian filtering and smoothing algorithms that employ sigma-points to approximate the required integrals. We discuss different sigma-point schemes based on the third, fifth, seventh, and ninth order unscented transforms and the Gauss-Hermite quadrature rule. We compare the performance of the methods in two simulated experiments: a univariate nonlinear growth model as well as tracking of a maneuvering target. In the experiments, we also com-pare against approximate likelihood estimates obtained by particle filtering and extended Kalman filtering based methods. The experiments suggest that the higher-order unscented transforms may in some cases provide more accurate estimates.