An Improved EM-method for the Estimation of Transition Probabilities in Multiple Model Switching Systems

This paper concerns the joint multiple model system identification and its switching model. The problem is formulated in a probabilistic framework, where multiple vector fields are estimated from data, and a Markov switching model is identified. An Expectation-Maximization method is employed for the identification task. The present paper focus mainly the Markov identification and more specifically the M-step of the EM method. For this purpose a natural gradient algorithm is employed.