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On the uniqueness of maximum likelihood identification

✍ Scribed by T Söderström

Publisher
Elsevier Science
Year
1975
Tongue
English
Weight
426 KB
Volume
11
Category
Article
ISSN
0005-1098

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✦ Synopsis

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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