Global convergence of the EM algorithm for ARX models with uncertain communication channels

• Published in: Systems & control letters Vol. 136; p. 104614
• Main Authors: Chen, Jing, Huang, Biao, Zhu, Quanmin, Liu, Yanjun, Li, Lun
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.02.2020
• Subjects: ARX model; EM algorithm; Kullback–Leibler divergence; Modified Kalman filter; Parameter estimation; Parameter estimation; Modified Kalman filter; Kullback–Leibler divergence; ARX model; EM algorithm

An expectation maximization (EM) algorithm is presented for ARX modeling with uncertain communication channels. The considered model consists of two parts: a dynamic model which is expressed by an ARX model, and an output model, both subject to white Gaussian noises. Since the true outputs of the AR...