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Abstract

We present a variational Bayesian identification procedure for polynomial NARMAX models based on message passing on a factor graph. Message passing allows us to obtain full posterior distributions for regression coefficients, precision parameters and noise instances by means of local computations distributed according to the factorization of the dynamic model. The posterior distributions are important to shaping the predictive distribution for outputs, and ultimately lead to superior model performance during 1-step ahead prediction and simulation.
Original languageEnglish
Title of host publication2022 IEEE 61st Conference on Decision and Control (CDC)
PublisherInstitute of Electrical and Electronics Engineers
Pages7309-7314
Number of pages6
ISBN (Electronic)978-1-6654-6761-2
DOIs
Publication statusPublished - 10 Jan 2023
Event61st IEEE Conference on Decision and Control, CDC 2022 - The Marriott Cancún Collection, Cancun, Mexico
Duration: 6 Dec 20229 Dec 2022
Conference number: 61
https://cdc2022.ieeecss.org/

Conference

Conference61st IEEE Conference on Decision and Control, CDC 2022
Abbreviated titleCDC 2022
Country/TerritoryMexico
CityCancun
Period6/12/229/12/22
Internet address

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