Approximate Bayesian Recursive Estimation of Linear Model with Uniform Noise
Result description
Recursive estimation forms core of adaptive prediction and control. Dynamic exponential family is the only but narrow class of parametric models that allows exact Bayesian estimation. The paper provides an approximate estimation of important autoregressive model with exogenous variables (ARX) and uniform noise. This model reflects well physical nature of modelled system: majority of signals, noise and estimated parameters are bounded. Unlike former solutions, the paper proposes an algorithm that provides a full (approximate) posterior probability density function (pdf) of unknown parameters. Behaviour of the designed algorithm is illustrated by simulations.
Keywords
recursive parameter estimationbounded noiseBayesian learningautoregressive models
The result's identifiers
Result code in IS VaVaI
Result on the web
DOI - Digital Object Identifier
Alternative languages
Result language
angličtina
Original language name
Approximate Bayesian Recursive Estimation of Linear Model with Uniform Noise
Original language description
Recursive estimation forms core of adaptive prediction and control. Dynamic exponential family is the only but narrow class of parametric models that allows exact Bayesian estimation. The paper provides an approximate estimation of important autoregressive model with exogenous variables (ARX) and uniform noise. This model reflects well physical nature of modelled system: majority of signals, noise and estimated parameters are bounded. Unlike former solutions, the paper proposes an algorithm that provides a full (approximate) posterior probability density function (pdf) of unknown parameters. Behaviour of the designed algorithm is illustrated by simulations.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BC - Theory and management systems
OECD FORD branch
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Result continuities
Project
TA01030123: Ecology of driving, modeling, cluster models, classification, decision making
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 16th IFAC Symposium on System Identification
ISBN
978-3-902823-06-9
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
1803-1807
Publisher name
IFAC
Place of publication
Brussels
Event location
Brussels
Event date
Jul 11, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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Basic information
Result type
D - Article in proceedings
CEP
BC - Theory and management systems
Year of implementation
2012