60,656 research outputs found

    Sampling-based Motion Planning for Active Multirotor System Identification

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    This paper reports on an algorithm for planning trajectories that allow a multirotor micro aerial vehicle (MAV) to quickly identify a set of unknown parameters. In many problems like self calibration or model parameter identification some states are only observable under a specific motion. These motions are often hard to find, especially for inexperienced users. Therefore, we consider system model identification in an active setting, where the vehicle autonomously decides what actions to take in order to quickly identify the model. Our algorithm approximates the belief dynamics of the system around a candidate trajectory using an extended Kalman filter (EKF). It uses sampling-based motion planning to explore the space of possible beliefs and find a maximally informative trajectory within a user-defined budget. We validate our method in simulation and on a real system showing the feasibility and repeatability of the proposed approach. Our planner creates trajectories which reduce model parameter convergence time and uncertainty by a factor of four.Comment: Published at ICRA 2017. Video available at https://www.youtube.com/watch?v=xtqrWbgep5

    Investigating uncertainty in macroeconomic forecasts by stochastic simulation

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    We investigate four sources of uncertainty with CPB’s macroeconomic model SAFFIER: provisional data, exogenous variables, model parameters and residuals of behavioural equations. Uncertainty is an inherent attribute of any forecast. We apply a Monte Carlo simulation technique to calculate standard errors for the short-term and medium-term horizon for GDP and eight other macroeconomic variables. The results demonstrate that the main contribution to the total variance of a medium-term forecast emanates from the uncertainty in the exogenous variables. For the short-term forecast both exogenous variables and provisional data are most relevant.

    Identification of Stochastic Wiener Systems using Indirect Inference

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    We study identification of stochastic Wiener dynamic systems using so-called indirect inference. The main idea is to first fit an auxiliary model to the observed data and then in a second step, often by simulation, fit a more structured model to the estimated auxiliary model. This two-step procedure can be used when the direct maximum-likelihood estimate is difficult or intractable to compute. One such example is the identification of stochastic Wiener systems, i.e.,~linear dynamic systems with process noise where the output is measured using a non-linear sensor with additive measurement noise. It is in principle possible to evaluate the log-likelihood cost function using numerical integration, but the corresponding optimization problem can be quite intricate. This motivates studying consistent, but sub-optimal, identification methods for stochastic Wiener systems. We will consider indirect inference using the best linear approximation as an auxiliary model. We show that the key to obtain a reliable estimate is to use uncertainty weighting when fitting the stochastic Wiener model to the auxiliary model estimate. The main technical contribution of this paper is the corresponding asymptotic variance analysis. A numerical evaluation is presented based on a first-order finite impulse response system with a cubic non-linearity, for which certain illustrative analytic properties are derived.Comment: The 17th IFAC Symposium on System Identification, SYSID 2015, Beijing, China, October 19-21, 201
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