Lecture 7_Statistical estimation英文学习材料.pdfVIP

Convex Optimization — Boyd Vandenberghe 7. Statistical estimation • maximum likelihood estimation • optimal detector design • experiment design 7–1 Parametric distribution estimation • distribution estimation problem: estimate probability density p (y) of a random variable from observed values • parametric distribution estimation: choose from a family of densities px (y), indexed by a parameter x maximum likelihood estimation maximize (over x) logpx (y) • y is observed value • l(x) = logpx (y) is called log-likelihood function • can add constraints x ∈ C explicitly, or define px (y) = 0 for x ∈ C • a convex optimization problem if logpx (y) is concave in x for fixed y Statistical estimation 7–2 Linear measurements with IID noise linear measurement model y = aT x + v , i = 1, . . . , m i i i n • x ∈ R is vector of unknown parameters • vi is IID measurement noise, with density p (z) • yi is measurement: y ∈ Rm has density px (y) = m p (yi − aT x) i=1 i maximum likelihood estimate: any solution x of maximize l(x) = m logp (yi − aT x) i=1 i (y is observed value) Statistical estimation 7–3 examples 2 2 −1/2 −z2/(2σ2) • Gaussian noise N (0, σ ): p (z) = (2πσ ) e ,