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DOI: 10.23952/cot.2023.34
Received January 16, 2023; Accepted April 11, 2023; Published July 10, 2023
Abstract. We propose an optimization formulation for the simultaneous estimation of a latent variable and the identification of a linear continuous-time dynamic system, given a single input-output pair. We justify this approach based on Bayesian maximum a posteriori estimators. Our scheme takes the form of a convex alternating minimization, over the trajectories and the dynamic model respectively. We prove its convergence to a local minimum which verifies a two point-boundary problem for the (latent) state variable and a tensor product expression for the optimal dynamics.
How to Cite this Article:
P.C. Aubin-Frankowski, A. Bensoussan, S.J. Qin, Alternating minimization for simultaneous estimation of a latent variable and identification of a linear continuous-time dynamic system, Commun. Optim. Theory 2023 (2023) 34.