A maximum entropy approach to estimation and inference in dynamic models or counting fish in the sea using maximum entropy
A maximum entropy approach to estimation and inference in dynamic models or counting fish in the sea using maximum entropy
In this paper we consider estimation problems based on dynamic discrete time models. The first problem involves noisy state observations, where the state equation and the observation equation are nonlinear. The objective is to estimate the unknown parameters of the state and observation equations and the unknown values of the state variable. Next we consider the problem of estimating the parameters of the objective function and of the state equation in a linear-quadratic control problem. In each case, given time series observations, we suggest a nonlinear inversion procedure that permits the unknown underlying parameters to be estimated. Examples are presented to suggest the operational nature of the results.
dynamic discrete time system, optimal control, inverse control problem, maximum entropy principle, time series data
559-582
Amos, G.
1549a335-cd86-4831-b092-b6363acdeb15
Judge, G.
1fe1018c-c3e1-4c17-9bc0-955dcad82a41
Karp, L.
832e565b-4cb5-486e-847d-9dec6c80d39c
1996
Amos, G.
1549a335-cd86-4831-b092-b6363acdeb15
Judge, G.
1fe1018c-c3e1-4c17-9bc0-955dcad82a41
Karp, L.
832e565b-4cb5-486e-847d-9dec6c80d39c
Amos, G., Judge, G. and Karp, L.
(1996)
A maximum entropy approach to estimation and inference in dynamic models or counting fish in the sea using maximum entropy.
Journal of Economic Dynamics and Control, 20 (4), .
(doi:10.1016/0165-1889(95)00864-0).
Abstract
In this paper we consider estimation problems based on dynamic discrete time models. The first problem involves noisy state observations, where the state equation and the observation equation are nonlinear. The objective is to estimate the unknown parameters of the state and observation equations and the unknown values of the state variable. Next we consider the problem of estimating the parameters of the objective function and of the state equation in a linear-quadratic control problem. In each case, given time series observations, we suggest a nonlinear inversion procedure that permits the unknown underlying parameters to be estimated. Examples are presented to suggest the operational nature of the results.
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Published date: 1996
Keywords:
dynamic discrete time system, optimal control, inverse control problem, maximum entropy principle, time series data
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Local EPrints ID: 32967
URI: http://eprints.soton.ac.uk/id/eprint/32967
ISSN: 0165-1889
PURE UUID: 719a9f88-4707-4c6b-870c-6f2adebab8f2
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Date deposited: 05 Jul 2007
Last modified: 15 Mar 2024 07:40
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Author:
G. Amos
Author:
G. Judge
Author:
L. Karp
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