The Em Algorithm and Neural Networks for Nonlinear State Space Estimation
نویسندگان
چکیده
In this paper, we derive an EM algorithm for nonlinear state space models. We use it to estimate jointly the neural network weights, the model uncertainty and the noise in the data. In the E-step we apply a forward-backward Rauch-Tung-Striebel smoother to compute the network weights. For the M-step, we derive expressions to compute the model uncertainty and the measurement noise. We nd that the method is intrinsically very powerful, simple, elegant and stable. i
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