The Library
On blocks, tempering and particle MCMC for systems identification
Tools
Tools
Tools
Johansen, Adam M. (2015) On blocks, tempering and particle MCMC for systems identification. In: 17th IFAC Symposium on System Identification, Beijing, China, 19-21 Oct 2015. Published in: IFAC-PapersOnLine, 48 (28). pp. 969-974. doi:10.1016/j.ifacol.2015.12.256
|
PDF
WRAP_btpf.pdf - Accepted Version - Requires a PDF viewer. Download (474Kb) | Preview |
Official URL: https://doi.org/10.1016/j.ifacol.2015.12.256
Abstract
The widespread use of particle methods for addressing the filtering and smoothing problems in state-space models has, in recent years, been complemented by the development of particle Markov Chain Monte Carlo (PMCMC) methods. PMCMC uses particle filters within offline systems-identification settings. We develop a modified particle filter, based around block sampling and tempering, intended to improve their exploration of the state space and the associated estimation of the marginal likelihood. The aim is to develop particle methods with improved robustness properties, particularly for parameter values which are not able to explain observed data well, for use within PMCMC algorithms. The proposed strategies do not require a substantial analytic understanding of the model structure, unlike most techniques for improving particle-filter performance.
| Item Type: | Conference Item (Paper) | ||||
|---|---|---|---|---|---|
| Alternative Title: | |||||
| Subjects: | Q Science > QA Mathematics | ||||
| Divisions: | Faculty of Science > Statistics | ||||
| Library of Congress Subject Headings (LCSH): | Monte Carlo method, Dynamics | ||||
| Journal or Publication Title: | IFAC-PapersOnLine | ||||
| Publisher: | Elsevier | ||||
| Official Date: | 25 December 2015 | ||||
| Dates: |
|
||||
| Volume: | 48 | ||||
| Number: | 28 | ||||
| Page Range: | pp. 969-974 | ||||
| DOI: | 10.1016/j.ifacol.2015.12.256 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| Conference Paper Type: | Paper | ||||
| Title of Event: | 17th IFAC Symposium on System Identification | ||||
| Type of Event: | Conference | ||||
| Location of Event: | Beijing, China | ||||
| Date(s) of Event: | 19-21 Oct 2015 | ||||
| Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
