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Approximate inference of nonparametric Hammerstein models
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. 8333-8338Article in journal (Refereed) Published
Abstract [en]

We propose a method for nonparametric identification of Hammerstein models with Gaussian-process models for the impulse response of the linear block and for the input nonlinearity. Interpreting the Gaussian-processes as prior distributions, we can estimate the unknowns using the posterior means given the data. To estimate the hyperparameters we set up an iterative scheme, reminiscent of the expectation-maximization method, where the posterior expectation of the complete likelihood is iteratively maximized. In the Hammerstein case, the posterior density is intractable because, in general, it does not admit a closed form expression. In this work, we propose two approximation approaches to estimate the posterior mean. In the first, we make a particle approximation of the posterior using Markov Chain Monte Carlo. In the second, we use a variational Bayes approach with a mean-field hypothesis. We validate the proposed methods on synthetic datasets of Hammerstein systems.

Place, publisher, year, edition, pages
Elsevier, 2017. Vol. 50, no 1, p. 8333-8338
Keywords [en]
Bayesian methods, Nonlinear system identification, Nonparametric methods
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-223074DOI: 10.1016/j.ifacol.2017.08.1555ISI: 000423964900379Scopus ID: 2-s2.0-85031810110OAI: oai:DiVA.org:kth-223074DiVA, id: diva2:1183073
Funder
Swedish Research Council, 2015-05285; 2016-06079EU, European Research Council, 267381
Note

QC 20180215

Available from: 2018-02-15 Created: 2018-02-15 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
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
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  • nn-NB
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  • Other locale
More languages
Output format
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