162 research outputs found
Bayesian and regularization approaches to multivariable linear system identification: the role of rank penalties
Recent developments in linear system identification have proposed the use of
non-parameteric methods, relying on regularization strategies, to handle the
so-called bias/variance trade-off. This paper introduces an impulse response
estimator which relies on an -type regularization including a
rank-penalty derived using the log-det heuristic as a smooth approximation to
the rank function. This allows to account for different properties of the
estimated impulse response (e.g. smoothness and stability) while also
penalizing high-complexity models. This also allows to account and enforce
coupling between different input-output channels in MIMO systems. According to
the Bayesian paradigm, the parameters defining the relative weight of the two
regularization terms as well as the structure of the rank penalty are estimated
optimizing the marginal likelihood. Once these hyperameters have been
estimated, the impulse response estimate is available in closed form.
Experiments show that the proposed method is superior to the estimator relying
on the "classic" -regularization alone as well as those based in atomic
and nuclear norm.Comment: to appear in IEEE Conference on Decision and Control, 201
Linear system identification using stable spline kernels and PLQ penalties
The classical approach to linear system identification is given by parametric
Prediction Error Methods (PEM). In this context, model complexity is often
unknown so that a model order selection step is needed to suitably trade-off
bias and variance. Recently, a different approach to linear system
identification has been introduced, where model order determination is avoided
by using a regularized least squares framework. In particular, the penalty term
on the impulse response is defined by so called stable spline kernels. They
embed information on regularity and BIBO stability, and depend on a small
number of parameters which can be estimated from data. In this paper, we
provide new nonsmooth formulations of the stable spline estimator. In
particular, we consider linear system identification problems in a very broad
context, where regularization functionals and data misfits can come from a rich
set of piecewise linear quadratic functions. Moreover, our anal- ysis includes
polyhedral inequality constraints on the unknown impulse response. For any
formulation in this class, we show that interior point methods can be used to
solve the system identification problem, with complexity O(n3)+O(mn2) in each
iteration, where n and m are the number of impulse response coefficients and
measurements, respectively. The usefulness of the framework is illustrated via
a numerical experiment where output measurements are contaminated by outliers.Comment: 8 pages, 2 figure
Variational message passing for online polynomial NARMAX identification
We propose a variational Bayesian inference procedure for online nonlinear
system identification. For each output observation, a set of parameter
posterior distributions is updated, which is then used to form a posterior
predictive distribution for future outputs. We focus on the class of polynomial
NARMAX models, which we cast into probabilistic form and represent in terms of
a Forney-style factor graph. Inference in this graph is efficiently performed
by a variational message passing algorithm. We show empirically that our
variational Bayesian estimator outperforms an online recursive least-squares
estimator, most notably in small sample size settings and low noise regimes,
and performs on par with an iterative least-squares estimator trained offline.Comment: 6 pages, 4 figures. Accepted to the American Control Conference 202
Maximum Entropy Vector Kernels for MIMO system identification
Recent contributions have framed linear system identification as a
nonparametric regularized inverse problem. Relying on -type
regularization which accounts for the stability and smoothness of the impulse
response to be estimated, these approaches have been shown to be competitive
w.r.t classical parametric methods. In this paper, adopting Maximum Entropy
arguments, we derive a new penalty deriving from a vector-valued
kernel; to do so we exploit the structure of the Hankel matrix, thus
controlling at the same time complexity, measured by the McMillan degree,
stability and smoothness of the identified models. As a special case we recover
the nuclear norm penalty on the squared block Hankel matrix. In contrast with
previous literature on reweighted nuclear norm penalties, our kernel is
described by a small number of hyper-parameters, which are iteratively updated
through marginal likelihood maximization; constraining the structure of the
kernel acts as a (hyper)regularizer which helps controlling the effective
degrees of freedom of our estimator. To optimize the marginal likelihood we
adapt a Scaled Gradient Projection (SGP) algorithm which is proved to be
significantly computationally cheaper than other first and second order
off-the-shelf optimization methods. The paper also contains an extensive
comparison with many state-of-the-art methods on several Monte-Carlo studies,
which confirms the effectiveness of our procedure
Probabilistic Models for Droughts: Applications in Trigger Identification, Predictor Selection and Index Development
The current practice of drought declaration (US Drought Monitor) provides a hard classification of droughts using various hydrologic variables. However, this method does not yield model uncertainty, and is very limited for forecasting upcoming droughts. The primary goal of this thesis is to develop and implement methods that incorporate uncertainty estimation into drought characterization, thereby enabling more informed and better decision making by water users and managers. Probabilistic models using hydrologic variables are developed, yielding new insights into drought characterization enabling fundamental applications in droughts
Semi-physical neural modeling for linear signal restoration
International audienceThis paper deals with the design methodology of an Inverse Neural Network (INN) model. The basic idea is to carry out a semi-physical model gathering two types of information: the a priori knowledge of the deterministic rules which govern the studied system and the observation of the actual conduct of this system obtained from experimental data. This hybrid model is elaborated by being inspired by the mechanisms of a neuromimetic network whose structure is constrained by the discrete reverse-time state-space equations. In order to validate the approach, some tests are performed on two dynamic models. The first suggested model is a dynamic system characterized by an unspecified r-order Ordinary Differential Equation (ODE). The second one concerns in particular the mass balance equation for a dispersion phenomenon governed by a Partial Differential Equation (PDE) discretized on a basic mesh. The performances are numerically analyzed in terms of generalization, regularization and training effort
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