Related papers: Realization and identification algorithm for stoch…

We consider the problem of learning a realization for a linear time-invariant (LTI) dynamical system from input/output data. Given a single input/output trajectory, we provide finite time analysis for learning the system's Markov…

This paper proposes an identification algorithm for Single Input Single Output (SISO) Linear Time-Invariant (LTI) systems. In the noise-free setting, where the first $T$ Markov parameters can be precisely estimated, all Markov parameters…

The recently proposed System Identification via Validation and Adaptation (SIVA) method allows system identification, uncertainty quantification, and model validation directly from data. Inspired by generative modeling, SIVA employs a…

We address the problem of robust sparse estimation of the precision matrix for heavy-tailed distributions in high-dimensional settings. In such high-dimensional contexts, we observe that the covariance matrix can be approximated by a…

This paper concerns the identification of continuous-time systems in state-space form that are subject to Lebesgue sampling. Contrary to equidistant (Riemann) sampling, Lebesgue sampling consists of taking measurements of a continuous-time…

For complex nonlinear systems, it is challenging to design algorithms that are fast, scalable, and give an accurate approximation of the stability region. This paper proposes a sampling-based approach to address these challenges. By…

A practical method for identifying the propeller model and inertia matrix of a marine Autonomous Surface Vehicle (ASV) is proposed in this work. Special attention is paid to limiting the instrumentation requirements. Based on a generic…

This paper is to explore a model of the ABS Algorithms for dealing with a class of systems of linear stochastic equations A xi=eta satisfying eta sim N_m(v, I_{m}). It is shown that the iteration step alpha_{i} is N(V,\pi) and approximation…

In this work, we propose a new stochastic domain decomposition method for solving steady-state partial differential equations (PDEs) with random inputs. Based on the efficiency of the Variable-separation (VS) method in simulating stochastic…

The hybrid Monte Carlo algorithm (HMCA) is applied for Bayesian parameter estimation of the realized stochastic volatility (RSV) model. Using the 2nd order minimum norm integrator (2MNI) for the molecular dynamics (MD) simulation in the…

The Stochastic Liouville-von Neumann equation provides an exact numerical simulation strategy for quantum systems interacting with Gaussian reservoirs [J.T. Stockburger & H. Grabert, PRL 88, 170407 (2002)]. Its scaling with the extension of…

In this paper, an attack-resilient estimation algorithm is presented for linear discrete-time stochastic systems with state and input constraints. It is shown that the state estimation errors of the proposed estimation algorithm are…

We introduce a statistical physics inspired supervised machine learning algorithm for classification and regression problems. The method is based on the invariances or stability of predicted results when known data is represented as…

We present a general system identification procedure capable of estimating of a broad spectrum of state-space dynamical models, including linear time-invariant (LTI), linear parameter-varying} (LPV), and nonlinear (NL) dynamics, along with…

Formal Property Verification (FPV), using SystemVerilog Assertions (SVA), is crucial for ensuring the completeness of design with respect to the specification. However, writing SVA is a laborious task and has a steep learning curve. In this…

The paper is devoted to synthesis of recurrent algorithms for detection of stochastic signals given in state space. The structure of the algorithms synthesized is shown to be close to that of the Kalman filter. Analysis of one of the…

Timeseries classification as stochastic (noise-like) or non-stochastic (structured), helps understand the underlying dynamics, in several domains. Here we propose a two-legged matrix decomposition-based algorithm utilizing two complementary…

In this paper, we analyze the finite sample complexity of stochastic system identification using modern tools from machine learning and statistics. An unknown discrete-time linear system evolves over time under Gaussian noise without…

We describe and analyze a simple algorithm for principal component analysis and singular value decomposition, VR-PCA, which uses computationally cheap stochastic iterations, yet converges exponentially fast to the optimal solution. In…

Value functions are central to Dynamic Programming and Reinforcement Learning but their exact estimation suffers from the curse of dimensionality, challenging the development of practical value-function (VF) estimation algorithms. Several…