Sequential Monte Carlo Methods for System Identification
Computation
2016-03-11 v3 Optimization and Control
Machine Learning
Abstract
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.
Cite
@article{arxiv.1503.06058,
title = {Sequential Monte Carlo Methods for System Identification},
author = {Thomas B. Schön and Fredrik Lindsten and Johan Dahlin and Johan Wågberg and Christian A. Naesseth and Andreas Svensson and Liang Dai},
journal= {arXiv preprint arXiv:1503.06058},
year = {2016}
}
Comments
In proceedings of the 17th IFAC Symposium on System Identification (SYSID). Added cover page