43,456 research outputs found
Kernel-based system identification from noisy and incomplete input-output data
In this contribution, we propose a kernel-based method for the identification
of linear systems from noisy and incomplete input-output datasets. We model the
impulse response of the system as a Gaussian process whose covariance matrix is
given by the recently introduced stable spline kernel. We adopt an empirical
Bayes approach to estimate the posterior distribution of the impulse response
given the data. The noiseless and missing data samples, together with the
kernel hyperparameters, are estimated maximizing the joint marginal likelihood
of the input and output measurements. To compute the marginal-likelihood
maximizer, we build a solution scheme based on the Expectation-Maximization
method. Simulations on a benchmark dataset show the effectiveness of the
method.Comment: 16 pages, submitted to IEEE Conference on Decision and Control 201
Maximum-likelihood estimation of delta-domain model parameters from noisy output signals
Fast sampling is desirable to describe signal transmission
through wide-bandwidth systems. The delta-operator provides an ideal discrete-time modeling description for such fast-sampled systems. However, the estimation of delta-domain model parameters is usually biased by directly applying the delta-transformations to a sampled signal corrupted by additive measurement noise. This problem is solved here by expectation-maximization, where the delta-transformations of the true signal are estimated and then used to obtain the model parameters. The method is
demonstrated on a numerical example to improve on the accuracy of using a shift operator approach when the sample rate is fast
On the Simulation of Polynomial NARMAX Models
In this paper, we show that the common approach for simulation non-linear
stochastic models, commonly used in system identification, via setting the
noise contributions to zero results in a biased response. We also demonstrate
that to achieve unbiased simulation of finite order NARMAX models, in general,
we require infinite order simulation models. The main contributions of the
paper are two-fold. Firstly, an alternate representation of polynomial NARMAX
models, based on Hermite polynomials, is proposed. The proposed representation
provides a convenient way to translate a polynomial NARMAX model to a
corresponding simulation model by simply setting certain terms to zero. This
translation is exact when the simulation model can be written as an NFIR model.
Secondly, a parameterized approximation method is proposed to curtail infinite
order simulation models to a finite order. The proposed approximation can be
viewed as a trade-off between the conventional approach of setting noise
contributions to zero and the approach of incorporating the bias introduced by
higher-order moments of the noise distribution. Simulation studies are provided
to illustrate the utility of the proposed representation and approximation
method.Comment: Accepted in IEEE CDC 201
Integrated Pre-Processing for Bayesian Nonlinear System Identification with Gaussian Processes
We introduce GP-FNARX: a new model for nonlinear system identification based
on a nonlinear autoregressive exogenous model (NARX) with filtered regressors
(F) where the nonlinear regression problem is tackled using sparse Gaussian
processes (GP). We integrate data pre-processing with system identification
into a fully automated procedure that goes from raw data to an identified
model. Both pre-processing parameters and GP hyper-parameters are tuned by
maximizing the marginal likelihood of the probabilistic model. We obtain a
Bayesian model of the system's dynamics which is able to report its uncertainty
in regions where the data is scarce. The automated approach, the modeling of
uncertainty and its relatively low computational cost make of GP-FNARX a good
candidate for applications in robotics and adaptive control.Comment: Proceedings of the 52th IEEE International Conference on Decision and
Control (CDC), Firenze, Italy, December 201
- …