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A Semiparametric Bayesian Approach to Wiener System Identification
Linköpings universitet, Institutionen för systemteknik, Reglerteknik. Linköpings universitet, Tekniska högskolan.
Linköpings universitet, Institutionen för systemteknik, Reglerteknik. Linköpings universitet, Tekniska högskolan.
University of California, Berkeley, USA.
2012 (engelsk)Inngår i: Proceedings of the 16th IFAC Symposium on System Identification, 2012, s. 1137-1142Konferansepaper, Oral presentation only (Fagfellevurdert)
Abstract [en]

We consider a semiparametric, i.e. a mixed parametric/nonparametric, model of a Wiener system. We use a state-space model for the linear dynamical system and a nonparametric Gaussian process (GP) model for the static nonlinearity. The GP model is a flexible model that can describe different types of nonlinearities while avoiding making strong assumptions such as monotonicity. We derive an inferential method based on recent advances in Monte Carlo statistical methods, known as Particle Markov Chain Monte Carlo (PMCMC). The idea underlying PMCMC is to use a particle filter (PF) to generate a sample state trajectory in a Markov chain Monte Carlo sampler. We use a recently proposed PMCMC sampler, denoted particle Gibbs with backward simulation, which has been shown to be efficient even when we use very few particles in the PF. The resulting method is used in a simulation study to identify two different Wiener systems with non-invertible nonlinearities.

sted, utgiver, år, opplag, sider
2012. s. 1137-1142
Emneord [en]
Wiener system identification, Particle Markov chain Monte Carlo, Gibbs sampling, Bayesian methods, Gaussian processes
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-81267DOI: 10.3182/20120711-3-BE-2027.00274ISBN: 978-3-902823-06-9 (tryckt)OAI: oai:DiVA.org:liu-81267DiVA, id: diva2:551263
Konferanse
16th IFAC Symposium on System Identification, Brussels, Belgium, July 11-13, 2012
Prosjekter
CADICSCNDM
Forskningsfinansiär
Swedish Research CouncilTilgjengelig fra: 2012-09-10 Laget: 2012-09-10 Sist oppdatert: 2013-09-23

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Lindsten, FredrikSchön, Thomas B.

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