Title: Maximum a Posteriori Joint State Path and Parameter Estimation in Stochastic Differential Equations,
Abstract: A wide variety of phenomena of engineering and scientific interest are of a
continuous-time nature and can be modeled by stochastic differential equations
(SDEs), which represent the evolution of the uncertainty in the states of a
system. For systems of this class, some parameters of the SDE might be unknown
and the measured data often includes noise, so state and parameter estimators
are needed to perform inference and further analysis using the system state
path. The distributions of SDEs which are nonlinear or subject to non-Gaussian
measurement noise do not admit tractable analytic expressions, so state and
parameter estimators for these systems are often approximations based on
heuristics, such as the extended and unscented Kalman smoothers, or the
prediction error method using nonlinear Kalman filters. However, the Onsager
Machlup functional can be used to obtain fictitious densities for the
parameters and state-paths of SDEs with analytic expressions. In this thesis,
we provide a unified theoretical framework for maximum a posteriori (MAP)
estimation of general random variables, possibly infinite-dimensional, and show
how the Onsager--Machlup functional can be used to construct the joint MAP
state-path and parameter estimator for SDEs. We also prove that the minimum
energy estimator, which is often thought to be the MAP state-path estimator,
actually gives the state paths associated to the MAP noise paths. Furthermore,
we prove that the discretized MAP state-path and parameter estimators, which
have emerged recently as powerful alternatives to nonlinear Kalman smoothers,
converge hypographically as the discretization step vanishes. Their
hypographical limit, however, is the MAP estimator for SDEs when the
trapezoidal discretization is used and the minimum energy estimator when the
Euler discretization is used, associating different interpretations to each
discretized estimate.