Tuning complexity in regularized kernel-based regression and linear system identification: the robustness of the marginal likelihood estimator

DOI10.1016/J.AUTOMATICA.2015.05.012zbMath1330.93235OpenAlexW1862263964MaRDI QIDQ895270

Gianluigi Pillonetto, Alessandro Chiuso

Publication date: 26 November 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2015.05.012

zbMATH Keywords

kernel-based regularizationlinear system identificationbias-variance trade offexcess degrees of freedomStein's unbiased risk estimation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

Related Items (22)

Linear system identification using the sequential stabilizing spline algorithm ⋮ Regularized linear system identification using atomic, nuclear and kernel-based norms: the role of the stability constraint ⋮ A new kernel-based approach to hybrid system identification ⋮ On kernel design for regularized LTI system identification ⋮ The generalized cross validation filter ⋮ Kernel-based methods for Volterra series identification ⋮ On semiseparable kernels and efficient implementation for regularized system identification and function estimation ⋮ Regularized nonparametric Volterra kernel estimation ⋮ Maximum entropy vector kernels for MIMO system identification ⋮ A nonparametric kernel-based approach to Hammerstein system identification ⋮ On the mathematical foundations of stable RKHSs ⋮ The existence and uniqueness of solutions for kernel-based system identification ⋮ When cannot regularization improve the least squares estimate in the kernel-based regularized system identification ⋮ Kernel‐based regularization least squares algorithm for nonlinear time‐delayed systems using self‐organizing maps ⋮ Prediction-error identification of LPV systems: a nonparametric Gaussian regression approach ⋮ On input design for regularized LTI system identification: power-constrained input ⋮ The quest for the right kernel in Bayesian impulse response identification: the use of OBFs ⋮ Regularized LTI system identification in the presence of outliers: a variational EM approach ⋮ On asymptotic properties of hyperparameter estimators for kernel-based regularization methods ⋮ A shift in paradigm for system identification ⋮ A Scaled Gradient Projection Method for Bayesian Learning in Dynamical Systems ⋮ On embeddings and inverse embeddings of input design for regularized system identification

Uses Software

• ElemStatLearn

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Kernel methods in system identification, machine learning and function estimation: a survey
• Prediction error identification of linear systems: a nonparametric Gaussian regression approach
• A new kernel-based approach for linear system identification
• Estimation of the mean of a multivariate normal distribution
• The convex geometry of linear inverse problems
• Regularization networks and support vector machines
• On the estimation of transfer functions, regularizations and Gaussian processes-revisited
• Consistent identification of Wiener systems: a machine learning viewpoint
• Sparse Estimation of Polynomial and Rational Dynamical Models
• Quantifying the error in estimated transfer functions with application to model order selection
• A New Kernel-Based Approach for NonlinearSystem Identification
• Some Comments on C P
• The Estimation of Prediction Error
• The elements of statistical learning. Data mining, inference, and prediction
• A new look at the statistical model identification

This page was built for publication: Tuning complexity in regularized kernel-based regression and linear system identification: the robustness of the marginal likelihood estimator