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Apr, 2018
利用秩约束似然估计马尔科夫链
Estimation of Markov Chain via Rank-constrained Likelihood
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Xudong Li, Mengdi Wang, Anru Zhang
TL;DR
本文提出了一种基于秩约束的极大似然非凸估计方法，采用差分凸函数编程算法解决优化问题，实验结果表明该方法在低秩马尔科夫链估计方面具有更好的性能。
Abstract
This paper studies the recovery and state compression of
low-rank markov chains
from empirical trajectories. We propose a
non-convex estimator
based on
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