On Blocks, Tempering and Particle MCMC for Systems Identification

Abstract

Abstract: The widespread use of particle methods for addressing the filtering and smoothing problems in state-space models has, in recent years, been complemented by the development of particle Markov Chain Monte Carlo (PMCMC) methods. PMCMC uses particle filters within offline systems-identification settings. We develop a modified particle filter, based around block sampling and tempering, intended to improve their exploration of the state space and the associated estimation of the marginal likelihood. The aim is to develop particle methods with improved robustness properties, particularly for parameter values which are not able to explain observed data well, for use within PMCMC algorithms. The proposed strategies do not require a substantial analytic understanding of the model structure, unlike most techniques for improving particle-filter performance