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Topic: Kalman filtering...
Replies: 9   Last Post: Jun 27, 2006 12:44 AM

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Glen Barnett

Posts: 643
Registered: 12/6/04
Re: Kalman filtering...
Posted: Jun 25, 2006 1:01 PM
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gino wrote:
> Because MLE gives a lot of local minimum, and depending on the initial
> values, the optimum points jump around; it is really hard to harness. And in
> our optimization procedure using Matlab's "fmincon", some unwanted
> points(often boundary) give -infinity, which became our global minimum,
> which is definitely undesirable...
>
> We'd like to try out other alternatives other than MLE. From data we don't
> neccessarily know if they are with normal errors or not... thus do you still
> have theoretical results showing that KF is exactly the same as MLE?


The KF estimates the mean and variance of a state space model; the
usual SSM has normal errors.

If the actual likelihood of your model is badly behaved, the KF won't
solve that.

If the model is fine and it's a problem with MATLAB's optimization,
then many things may work.

What's the model?

Glen




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