An efficient particle-based online EM algorithm for general state-space models

Jimmy Olsson; Johan Westerborn

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arXiv · 1502.04822

An efficient particle-based online EM algorithm for general state-space models

Jimmy Olsson·Johan Westerborn

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Abstract

Estimating the parameters of general state-space models is a topic of importance for many scientific and engineering disciplines. In this paper we present an online parameter estimation algorithm obtained by casting our recently proposed particle-based, rapid incremental smoother (PaRIS) into the framework of online expectation-maximization (EM) for state-space models proposed by Capp\'e (2011). Previous such particle-based implementations of online EM suffer typically from either the well-known degeneracy of the genealogical particle paths or a quadratic complexity in the number of particles. However, by using the computationally efficient and numerically stable PaRIS algorithm for estimating smoothed expectations of time-averaged sufficient statistics of the model we obtain a fast algorithm with very limited memory requirements and a computational complexity that grows only linearly with the number of particles. The efficiency of the algorithm is illustrated in a simulation study.

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Jimmy Olsson, Johan Westerborn. 2015-02-17. An efficient particle-based online EM algorithm for general state-space models. https://arxiv.org/abs/1502.04822

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