Kernel-based system identification from noisy and incomplete intput-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.

Subject headings

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Annan elektroteknik och elektronik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Other Electrical Engineering, Electronic Engineering, Information Engineering (hsv//eng)

Keyword

Electrical Engineering

Elektro- och systemteknik

Informations- och kommunikationsteknik

Information and Communication Technology

Publication and Content Type

ref (subject category)

kon (subject category)