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- Schön, Thomas BoDepartment of Information Technology, Uppsala University (author)
Sequential Monte Carlo Methods for System Identification
- Article/chapterEnglish2015
Publisher, publication year, extent ...
- Elsevier,2015
- electronicrdacarrier
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- LIBRIS-ID:oai:DiVA.org:liu-123667
- https://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-123667URI
- https://doi.org/10.1016/j.ifacol.2015.12.224DOI
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- Language:English
- Summary in:English
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- SwePubSwePub
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Notes
- One of the key challenges in identifying nonlinear and possibly non-Gaussian state space models (SSMs) is the intractability of estimating the system state. Sequential Monte Carlo (SMC) methods, such as the particle filter (introduced more than two decades ago), provide numerical solutions to the nonlinear state estimation problems arising in SSMs. When combined with additional identification techniques, these algorithms provide solid solutions to the nonlinear system identification problem. We describe two general strategies for creating such combinations and discuss why SMC is a natural tool for implementing these strategies.
Subject headings and genre
- TEKNIK OCH TEKNOLOGIER Elektroteknik och elektronik Reglerteknik hsv//swe
- ENGINEERING AND TECHNOLOGY Electrical Engineering, Electronic Engineering, Information Engineering Control Engineering hsv//eng
- NATURVETENSKAP Matematik Beräkningsmatematik hsv//swe
- NATURAL SCIENCES Mathematics Computational Mathematics hsv//eng
- Nonlinear system identification; nonlinear state space model; particle filter; particle smoother; sequential Monte Carlo; MCMC
Added entries (persons, corporate bodies, meetings, titles ...)
- Lindsten, Fredrik,1984-Department of Engineering, University of Cambridge, UK(Swepub:liu)freli29 (author)
- Dahlin, Johan,1986-Linköpings universitet,Reglerteknik,Tekniska fakulteten(Swepub:liu)johda87 (author)
- Wågberg, JohanDepartment of Information Technology, Uppsala University (author)
- Andersson Naesseth, ChristianLinköpings universitet,Reglerteknik,Tekniska fakulteten(Swepub:liu)chran60 (author)
- Svensson, AndreasDepartment of Information Technology, Uppsala University (author)
- Dai, LiangDepartment of Information Technology, Uppsala University (author)
- Department of Information Technology, Uppsala UniversityDepartment of Engineering, University of Cambridge, UK (creator_code:org_t)
Related titles
- In:Proceedings of the 17th IFAC Symposium on System Identification.: Elsevier, s. 775-786
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