A Scaled Gradient Projection Method for Bayesian Learning in Dynamical Systems

DOI10.1137/140973529zbMath1461.65133arXiv1406.6603MaRDI QIDQ5254793

Alessandro Chiuso, Silvia Bonettini, Marco Prato

Publication date: 10 June 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.6603

zbMATH Keywords

system identification; regularization; optimization methods; empirical Bayes method; marginal likelihood maximization

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

90C90: Applications of mathematical programming

90C30: Nonlinear programming

93B30: System identification

Related Items

Variable Metric Inexact Line-Search-Based Methods for Nonsmooth Optimization, Scaling Techniques for $\epsilon$-Subgradient Methods

Uses Software

• CVXOPT

Cites Work

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