Iterative algorithms for optimal MAP estimation of bilinear systems
Leigh A. Johnston, Vikram Krishnamurthy, A. Logothetis · 2002
We present two finite dimensional iterative algorithms for maximum a posteriori (MAP) state sequence estimation of bilinear systems. The novel idea is to use the expectation maximization (EM) algorithm for state estimation rather than the traditional maximum likelihood parameter estimation. We present the EM-I and EM-II algorithms.