A new kernel-based approach to system identification with quantized output data

G. Bottegal, H. Hjalmarsson, G. Pillonetto

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18 Citations (Scopus)
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Abstract

In this paper we introduce a novel method for linear system identification with quantized output data. We model the impulse response as a zero-mean Gaussian process whose covariance (kernel) is given by the recently proposed stable spline kernel, which encodes information on regularity and exponential stability. This serves as a starting point to cast our system identification problem into a Bayesian framework. We employ Markov Chain Monte Carlo methods to provide an estimate of the system. In particular, we design two methods based on the so-called Gibbs sampler that allow also to estimate the kernel hyperparameters by marginal likelihood maximization via the expectation–maximization method. Numerical simulations show the effectiveness of the proposed scheme, as compared to the state-of-the-art kernel-based methods when these are employed in system identification with quantized data.

Original languageEnglish
Pages (from-to)145-152
Number of pages8
JournalAutomatica
Volume85
DOIs
Publication statusPublished - 1 Nov 2017

Keywords

  • Expectation–maximization
  • Gibbs sampler
  • Kernel-based methods
  • Quantized data
  • System identification

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