A novel system identification algorithm for nonlinear Markov jump system

DOI10.1016/J.INS.2022.10.102MaRDI QIDQ6204988zbMATH OpenFDO

Authors Haoyu Li, Ke Zhang, Minghu Tan

Publication date 11 April 2024

Published in Information Sciences (Search for Journal in Brave)

zbMATH Keywords

system identificationgradient descentMarkovian jumpRao-Blackwellizationlog-likelihoodparticle Gibbs ancestor sampling

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Identification in stochastic control theory (93E12) Data smoothing in stochastic control theory (93E14)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
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• An introduction to sequential Monte Carlo
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• Compressed Monte Carlo with application in particle filtering
• Convergence of a stochastic approximation version of the EM algorithm
• Data filtering based maximum likelihood extended gradient method for multivariable systems with autoregressive moving average noise
• Efficient Sequential Monte-Carlo Samplers for Bayesian Inference
• On particle Gibbs sampling
• On particle methods for parameter estimation in state-space models
• On the Markov switching welfare cost of inflation
• Parameter Estimation in Switching Markov Systems and Unsupervised Smoothing
• Parameter estimation for jump Markov linear systems
• Particle Gibbs with ancestor sampling
• Recursive Maximum Likelihood Identification of Jump Markov Nonlinear Systems
• Sparse Bayesian Nonlinear System Identification Using Variational Inference
• Switch detection and robust parameter estimation for slowly switched Hammerstein systems
• System identification of nonlinear state-space models

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