Variational system identification for nonlinear state-space models. (January 2023)

• Record Type: Journal Article
• Authors: Courts, Jarrad; Wills, Adrian G.; Schön, Thomas B.; Ninness, Brett
• Is Part Of: Automatica. Volume 147(2023)
• Publication Date: 2023-01
• Subjects: System identification -- Variational inference -- Nonlinear models -- Parameter estimation -- Assumed density; Automatic control -- Periodicals; Automation -- Periodicals; 629.805
• DOI: 10.1016/j.automatica.2022.110687
• Languages: English
• ISSNs: 0005-1098

Abstract

Abstract: This paper considers parameter estimation for nonlinear state-space models, which is an important but challenging problem. We address this challenge by employing a variational inference (VI) approach, which is a principled method that has deep connections to maximum likelihood estimation. This VI approach ultimately provides estimates of the model as solutions to an optimisation problem, which is deterministic, tractable and can be solved using standard optimisation tools. A specialisation of this approach for systems with additive Gaussian noise is also detailed. The proposed method is examined numerically on a range of simulated and real examples focusing on the robustness to parameter initialisation; additionally, favourable comparisons are performed against state-of-the-art alternatives.