Bayesian system identification via Markov chain Monte Carlo techniques

DOI10.1016/J.AUTOMATICA.2009.10.015MaRDI QIDQ985263zbMATH OpenOpenAlexFDO

Authors Brett Ninness, Soren Henriksen

Publication date 20 July 2010

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2009.10.015

zbMATH Keywords

parameter estimationmaximum likelihoodBayesian methodssystem identification

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

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Cited in

(32)

• A new kernel-based approach to hybrid system identification
• Small-sample Bayesian error estimation for ergodic, chaotic systems of ordinary differential equations
• A new adaptive approach of the Metropolis-Hastings algorithm applied to structural damage identification using time domain data
• Bayesian system identification via Markov chain Monte Carlo techniques
• Bayesian augmented Lagrangian algorithm for system identification
• On model order priors for Bayesian identification of SISO linear systems
• Structure and parameter identification for Bayesian Hammerstein system
• Computational system identification for Bayesian NARMAX modelling
• Kernel methods in system identification, machine learning and function estimation: a survey
• Bayesian positive system identification: truncated Gaussian prior and hyperparameter estimation
• Deep networks for system identification: a survey
• scientific article; zbMATH DE number 3926777 (Why is no real title available?)
• Computational system identification of continuous-time nonlinear systems using approximate Bayesian computation
• Topology identification of sparse network: a stochastic variational Bayesian approach
• Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
• Field degradation modeling and prognostics under time-varying operating conditions: a Bayesian based filtering algorithm
• Parameter estimation for mechanical systems via an explicit representation of uncertainty
• Data augmentation-based statistical inference of diffusion processes
• The generalized cross validation filter
• A Bayesian-MCMC approach to identify the unknown parameters in Fisher equation
• Bayesian error isolation for models of large-scale systems
• Regularization aspects in continuous-time model identification
• Kernel-based local order estimation of nonlinear nonparametric systems
• On input-dependent system identification by Monte Carlo approach
• Set-membership identification and fault detection using a Bayesian framework
• Bayesian parameter estimation
• Bayesian parameter estimation and model selection for strongly nonlinear dynamical systems
• Calculation of Hessian under constraints with applications to Bayesian system identification
• Uncertainty quantification in chromatography process identification based on Markov chain Monte Carlo
• Parameters identification for occupant restraint system based on Bayesian inference
• Complex-valued Bayesian parameter estimation via Markov chain Monte Carlo
• Bayesian identification of stochastic linear systems with observations at multiple scales

Describes a project that uses

Uses Software

• Matlab
• System Identification Toolbox

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