Related papers: Canonical Bayesian Linear System Identification

Increasingly complex applications involve large datasets in combination with non-linear and high dimensional mathematical models. In this context, statistical inference is a challenging issue that calls for pragmatic approaches that take…

In this paper we derive a Probably Approxilmately Correct(PAC)-Bayesian error bound for linear time-invariant (LTI) stochastic dynamical systems with inputs. Such bounds are widespread in machine learning, and they are useful for…

This paper details how to parameterize the posterior distribution of state-space systems to generate improved optimization problems for system identification using variational inference. Three different parameterizations of the assumed…

The Bayesian paradigm offers principled tools for sequential decision-making under uncertainty, but its reliance on a probabilistic model for all parameters can hinder the incorporation of complex structural constraints. We introduce a…

Bayesian inference provides a natural way of incorporating prior beliefs and assigning a probability measure to the space of hypotheses. Current solutions rely on iterative routines like Markov Chain Monte Carlo (MCMC) sampling and…

In many computational tasks and dynamical systems, asynchrony and randomization are naturally present and have been considered as ways to increase the speed and reduce the cost of computation while compromising the accuracy and convergence…

Bayesian multinomial logistic-normal (MLN) models are popular for the analysis of sequence count data (e.g., microbiome or gene expression data) due to their ability to model multivariate count data with complex covariance structure.…

Latent feature models (LFM)s are widely employed for extracting latent structures of data. While offering high, parameter estimation is difficult with LFMs because of the combinational nature of latent features, and non-identifiability is a…

System identification is of special interest in science and engineering. This article is concerned with a system identification problem arising in stochastic dynamic systems, where the aim is to estimate the parameters of a system along…

Current approximate posteriors in Bayesian neural networks (BNNs) exhibit a crucial limitation: they fail to maintain invariance under reparameterization, i.e. BNNs assign different posterior densities to different parametrizations of…

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…

This paper compares classical parametric methods with recently developed Bayesian methods for system identification. A Full Bayes solution is considered together with one of the standard approximations based on the Empirical Bayes paradigm.…

Linear time-invariant (LTI) systems appear frequently in natural sciences and engineering contexts. Many LTI systems are described by ordinary differential equations (ODEs). For example, biological gene regulation, analog filter circuits,…

Leaving posterior sensitivity concerns aside, non-identifiability of the parameters does not raise a difficulty for Bayesian inference as far as the posterior is proper, but multi-modality or flat regions of the posterior induced by the…

This study presents a Bayesian maximum \textit{a~posteriori} (MAP) framework for dynamical system identification from time-series data. This is shown to be equivalent to a generalized Tikhonov regularization, providing a rational…

In high-dimensional Bayesian statistics, various methods have been developed, including prior distributions that induce parameter sparsity to handle many parameters. Yet, these approaches often overlook the rich spectral structure of the…

This article tackles the old problem of prediction via a nonparametric transformation model (NTM) in a new Bayesian way. Estimation of NTMs is known challenging due to model unidentifiability though appealing because of its robust…

In Generalised Bayesian Inference (GBI), the learning rate and hyperparameters of the loss must be estimated. These inference-hyperparameters can't be estimated jointly with the other parameters, from the data, by giving them a prior.…

Bernstein-von Mises theorems for nonparametric Bayes priors in the Gaussian white noise model are proved. It is demonstrated how such results justify Bayes methods as efficient frequentist inference procedures in a variety of concrete…

We extend the recently introduced regularization/Bayesian System Identification procedures to the estimation of time-varying systems. Specifically, we consider an online setting, in which new data become available at given time steps. The…