Bibliography

Conference Paper (international conference)

Approximate Bayesian Recursive Estimation of Linear Model with Uniform Noise

: Proceedings of the 16th IFAC Symposium on System Identification, p. 1803-1807

: 16th IFAC Symposium on System Identification The International Federation of Automatic Control, (Brussels, BE, 11.07.2012-13.07.2012)

: TA01030123, GA TA ČR

: recursive parameter estimation, bounded noise, Bayesian learning, autoregressive models

: 10.3182/20120711-3-BE-2027.00104

: http://library.utia.cas.cz/separaty/2012/AS/pavelkova-approximate bayesian recursive estimation of linear model with uniform noise.pdf

(eng): 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.

: BC