3,304 research outputs found
Identification of stable models via nonparametric prediction error methods
A new Bayesian approach to linear system identification has been proposed in
a series of recent papers. The main idea is to frame linear system
identification as predictor estimation in an infinite dimensional space, with
the aid of regularization/Bayesian techniques. This approach guarantees the
identification of stable predictors based on the prediction error minimization.
Unluckily, the stability of the predictors does not guarantee the stability of
the impulse response of the system. In this paper we propose and compare
various techniques to address this issue. Simulations results comparing these
techniques will be provided.Comment: number of pages = 6, number of figures =
Towards Efficient Maximum Likelihood Estimation of LPV-SS Models
How to efficiently identify multiple-input multiple-output (MIMO) linear
parameter-varying (LPV) discrete-time state-space (SS) models with affine
dependence on the scheduling variable still remains an open question, as
identification methods proposed in the literature suffer heavily from the curse
of dimensionality and/or depend on over-restrictive approximations of the
measured signal behaviors. However, obtaining an SS model of the targeted
system is crucial for many LPV control synthesis methods, as these synthesis
tools are almost exclusively formulated for the aforementioned representation
of the system dynamics. Therefore, in this paper, we tackle the problem by
combining state-of-the-art LPV input-output (IO) identification methods with an
LPV-IO to LPV-SS realization scheme and a maximum likelihood refinement step.
The resulting modular LPV-SS identification approach achieves statical
efficiency with a relatively low computational load. The method contains the
following three steps: 1) estimation of the Markov coefficient sequence of the
underlying system using correlation analysis or Bayesian impulse response
estimation, then 2) LPV-SS realization of the estimated coefficients by using a
basis reduced Ho-Kalman method, and 3) refinement of the LPV-SS model estimate
from a maximum-likelihood point of view by a gradient-based or an
expectation-maximization optimization methodology. The effectiveness of the
full identification scheme is demonstrated by a Monte Carlo study where our
proposed method is compared to existing schemes for identifying a MIMO LPV
system
Bessel Functions in Mass Action. Modeling of Memories and Remembrances
Data from experimental observations of a class of neurological processes
(Freeman K-sets) present functional distribution reproducing Bessel function
behavior. We model such processes with couples of damped/amplified oscillators
which provide time dependent representation of Bessel equation. The root loci
of poles and zeros conform to solutions of K-sets. Some light is shed on the
problem of filling the gap between the cellular level dynamics and the brain
functional activity. Breakdown of time-reversal symmetry is related with the
cortex thermodynamic features. This provides a possible mechanism to deduce
lifetime of recorded memory.Comment: 16 pages, 9 figures, Physics Letters A, 2015 in pres
Impulse response identification in DSGE models
Dynamic stochastic general equilibrium (DSGE) models have become a widely used tool for policymakers. This paper modifies the global identification theory used for structural vector autoregressions, and applies it to DSGE models. We use this theory to check whether a DSGE model structure allows for unique estimates of structural shocks and their dynamic effects. The potential cost of a lack of identification for policy oriented models along that specific dimension is huge, as the same model can generate a number of contrasting yet theoretically and empirically justifiable recommendations. The problem and methodology are illustrated using a simple New Keynesian business cycle model.
The New Keynesian Monetary Model: Does it Show the Comovement Between Output and Inflation in the U.S.?
Published as article in: Journal of Economic Dynamics and Control (2008), 32(May), pp. 1466-1488.comovement, VAR forecast errors, optimal policy, NKM model
An empirical Bayes approach to identification of modules in dynamic networks
We present a new method of identifying a specific module in a dynamic
network, possibly with feedback loops. Assuming known topology, we express the
dynamics by an acyclic network composed of two blocks where the first block
accounts for the relation between the known reference signals and the input to
the target module, while the second block contains the target module. Using an
empirical Bayes approach, we model the first block as a Gaussian vector with
covariance matrix (kernel) given by the recently introduced stable spline
kernel. The parameters of the target module are estimated by solving a marginal
likelihood problem with a novel iterative scheme based on the
Expectation-Maximization algorithm. Additionally, we extend the method to
include additional measurements downstream of the target module. Using Markov
Chain Monte Carlo techniques, it is shown that the same iterative scheme can
solve also this formulation. Numerical experiments illustrate the effectiveness
of the proposed methods
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