On the uniqueness of maximum likelihood identification
(1975) In Automatica 11(2). p.193-197- Abstract
- The maximum likelihood method of identification is a powerful tool for obtaining mathematical models of dynamic processes. To apply this method a loss function has to be minimized. The aim of the paper is an investigation of the local minimum points of this loss function for a common structure of a general form. If the loss function has more than one local minimum point, numerical problems can occur during the minimization. Sufficient conditions are given for the existence of a unique stationary point, which then also gives the desired global minimum. It is also shown by counter-examples that there are systems without peculiarities, which have more than one local minimum point of the loss function.
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- author
- Söderström, Torsten
- publishing date
- 1975
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Automatica
- volume
- 11
- issue
- 2
- pages
- 5 pages
- publisher
- Pergamon Press Ltd.
- external identifiers
-
- scopus:0016487091
- ISSN
- 0005-1098
- DOI
- 10.1016/0005-1098(75)90061-8
- language
- English
- LU publication?
- no
- id
- ed4b9666-345e-43ba-84e6-d575cc2b4a88
- date added to LUP
- 2018-12-10 10:55:45
- date last changed
- 2021-04-25 04:50:44
@article{ed4b9666-345e-43ba-84e6-d575cc2b4a88, abstract = {{The maximum likelihood method of identification is a powerful tool for obtaining mathematical models of dynamic processes. To apply this method a loss function has to be minimized. The aim of the paper is an investigation of the local minimum points of this loss function for a common structure of a general form. If the loss function has more than one local minimum point, numerical problems can occur during the minimization. Sufficient conditions are given for the existence of a unique stationary point, which then also gives the desired global minimum. It is also shown by counter-examples that there are systems without peculiarities, which have more than one local minimum point of the loss function.}}, author = {{Söderström, Torsten}}, issn = {{0005-1098}}, language = {{eng}}, number = {{2}}, pages = {{193--197}}, publisher = {{Pergamon Press Ltd.}}, series = {{Automatica}}, title = {{On the uniqueness of maximum likelihood identification}}, url = {{http://dx.doi.org/10.1016/0005-1098(75)90061-8}}, doi = {{10.1016/0005-1098(75)90061-8}}, volume = {{11}}, year = {{1975}}, }