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 language | English |
---|---|
Title of host publication | 2022 IEEE 61st Conference on Decision and Control (CDC) |
Publisher | Institute of Electrical and Electronics Engineers |
Pages | 7309-7314 |
Number of pages | 6 |
ISBN (Electronic) | 978-1-6654-6761-2 |
DOIs | |
Publication status | Published - 10 Jan 2023 |
Event | 61st IEEE Conference on Decision and Control, CDC 2022 - The Marriott Cancún Collection, Cancun, Mexico Duration: 6 Dec 2022 → 9 Dec 2022 Conference number: 61 https://cdc2022.ieeecss.org/ |
Conference
Conference | 61st IEEE Conference on Decision and Control, CDC 2022 |
---|---|
Abbreviated title | CDC 2022 |
Country/Territory | Mexico |
City | Cancun |
Period | 6/12/22 → 9/12/22 |
Internet address |