Data-based inference of generators for markov jump processes using convex optimization

Multiscale Modeling and Simulation

Volumn 7, Issue 4, 2009, Pages 1751-1778

  Crommelin, Daan ^a   Vanden Eijnden, Eric ^b  

^a CWI   (Netherlands)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Estimation; Generator; Markov jump process; Quadratic program

Indexed keywords

BEST MATCH; DISCRETE DATA; DISCRETE MAXIMA; ESTIMATION OF PROCESS; GENERATOR; HIGH-DIMENSIONAL; LINEAR CONSTRAINTS; MARKOV JUMP PROCESS; NUMERICAL ASPECTS; NUMERICAL EXAMPLE; QUADRATIC MINIMIZATION; QUADRATIC PROGRAMS; SAMPLED DATA; STATE SPACE; TIME INTERVAL; TRANSITION MATRICES; VARIATIONAL APPROACHES;

CONVEX OPTIMIZATION; ESTIMATION; MARKOV PROCESSES;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 79954600165     PISSN: 15403459     EISSN: 15403467     Source Type: Journal    
DOI: 10.1137/080735977     Document Type: Article

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