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Variational State a...
Variational State and Parameter Estimation
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- Courts, Jarrad (author)
- Univ Newcastle, Fac Engn & Built Environm, Sch Engn, Callaghan, NSW 2308, Australia.
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- Hendriks, Johannes (author)
- Univ Newcastle, Fac Engn & Built Environm, Sch Engn, Callaghan, NSW 2308, Australia.
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- Wills, Adrian (author)
- Univ Newcastle, Fac Engn & Built Environm, Sch Engn, Callaghan, NSW 2308, Australia.
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- Schön, Thomas B., Professor, 1977- (author)
- Uppsala universitet,Avdelningen för systemteknik,Artificiell intelligens
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- Ninness, Brett (author)
- Univ Newcastle, Fac Engn & Built Environm, Sch Engn, Callaghan, NSW 2308, Australia.
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Univ Newcastle, Fac Engn & Built Environm, Sch Engn, Callaghan, NSW 2308, Australia Avdelningen för systemteknik (creator_code:org_t)
- Elsevier, 2021
- 2021
- English.
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In: IFAC PapersOnLine. - : Elsevier. - 2405-8963. ; , s. 732-737
- Related links:
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https://uu.diva-port... (primary) (Raw object)
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Abstract
Subject headings
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- This paper considers the problem of computing Bayesian estimates of both states and model parameters for nonlinear state-space models. Generally, this problem does not have a tractable solution and approximations must be utilised. In this work, a variational approach is used to provide an assumed density which approximates the desired, intractable, distribution. The approach is deterministic and results in an optimisation problem of a standard form. Due to the parametrisation of the assumed density selected first- and second-order derivatives are readily available which allows for efficient solutions. The proposed method is compared against state-of-the-art Hamiltonian Monte Carlo in two numerical examples.
Subject headings
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Keyword
- Bayesian inference
- system identification
- variational inference
- nonlinear models
- parameter estimation
Publication and Content Type
- ref (subject category)
- kon (subject category)
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