liu.seSearch for publications in DiVA
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Estimation of Linear Systems using a Gibbs Sampler
University of Newcastle, Australia.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
University of Newcastle, Australia.
2012 (English)In: Proceedings of the 16th IFAC Symposium on System Identification, 2012, 203-208 p.Conference paper, Published paper (Refereed)
Abstract [en]

This paper considers a Bayesian approach to linear system identification. One motivation is the advantage of the minimum mean square error of the associated conditional mean estimate. A further motivation is the error quantifications afforded by the posterior density which are not reliant on asymptotic in data length derivations. To compute these posterior quantities, this paper derives and illustrates a Gibbs sampling approach, which is a randomized algorithm in the family of Markov chain Monte Carlo methods. We provide details on a numerically robust implementation of the Gibbs sampler. In a numerical example, the proposed method is illustrated to give good convergence properties without requiring any user tuning.

Place, publisher, year, edition, pages
2012. 203-208 p.
Keyword [en]
Parameter estimation, System identification, Bayesian statistics, Markov Chain Monte Carlo techniques
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-88609DOI: 10.3182/20120711-3-BE-2027.00297ISBN: 978-3-902823-06-9 (print)OAI: oai:DiVA.org:liu-88609DiVA: diva2:605130
Conference
16th IFAC Symposium on System Identification, Brussels, Belgium, 11-13 July, 2012
Projects
CADICSCNDM
Funder
Swedish Research Council
Available from: 2013-02-13 Created: 2013-02-13 Last updated: 2013-07-10

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Schön, ThomasLindsten, Fredrik

Search in DiVA

By author/editor
Schön, ThomasLindsten, Fredrik
By organisation
Automatic ControlThe Institute of Technology
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar

doi
isbn
urn-nbn

Altmetric score

doi
isbn
urn-nbn
Total: 375 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf