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Likelihood Ratio Gradient Estimation for Stochastic Recursions
Likelihood Ratio Gradient Estimation Stochastic Recursions
2015/7/8
In this paper, we develop mathematical machinery for verifying that a broad class of general state space Markov chains reacts smoothly to certain types of perturbations in the underlying transition st...
LEAST SQUARES ESTIMATION OF DISCRETE LINEAR DYNAMIC SYSTEMS USING ORTHOGONAL TRANSFORMATIONS
DISCRETE LINEAR DYNAMIC SYSTEMS ORTHOGONAL TRANSFORMATIONS
2015/7/3
Kalman [9] introduced a method for estimating the state of a discrete linear dynamic
system subject to noise. His method is fast but has poor numerical properties. Duncan and Horn [3]
showed that th...