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Variational Bayes identification of acyclic dynamic networks
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-2831-2909
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
2017 (English)In: IFAC-PapersOnLine, ISSN 2405-8963, Vol. 50, no 1, p. 10556-10561Article in journal (Refereed) Published
Abstract [en]

We study the problem of identifying dynamic networks that do not present loops. We model the impulse responses of the modules in the network as zero-mean independent Gaussian processes. The covariance matrices of the processes can be used to encode prior information, such as stability and smoothness, about the impulse responses of the modules. To estimate the modules, we approximate the joint posterior distribution of the impulse responses using a variational Bayes approach. In particular, using a mean-field approximation, we assume a factorization of the posterior where each factor corresponds to a single module. We estimate the kernel hyperparameters and the measurement noise variances by combining variational Bayes with the expectation-maximization method. We evaluate the performance of the identification procedure in a simulation experiment, where we compare to other kernel-based approaches.

Place, publisher, year, edition, pages
Elsevier, 2017. Vol. 50, no 1, p. 10556-10561
Keywords [en]
Bayesian methods, Nonparametric methods, System identification
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-223067DOI: 10.1016/j.ifacol.2017.08.1318ISI: 000423965100252Scopus ID: 2-s2.0-85031801139OAI: oai:DiVA.org:kth-223067DiVA, id: diva2:1182591
Funder
Swedish Research Council, 2016-06079; 694504
Note

QC 20180214

Available from: 2018-02-14 Created: 2018-02-14 Last updated: 2018-03-05Bibliographically approved

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Risuleo, Riccardo Sven

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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