Input design for Bayesian identification of non-linear state-space models

Aditya Tulsyan; Swanand R. Khare; Biao Huang; R. Bhushan Gopaluni; J. Fraser Forbes

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arXiv · 1307.6258

Input design for Bayesian identification of non-linear state-space models

Aditya Tulsyan·Swanand R. Khare·Biao Huang·R. Bhushan Gopaluni·J. Fraser Forbes

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Abstract

We propose an algorithm for designing optimal inputs for on-line Bayesian identification of stochastic non-linear state-space models. The proposed method relies on minimization of the posterior Cramér Rao lower bound derived for the model parameters, with respect to the input sequence. To render the optimization problem computationally tractable, the inputs are parametrized as a multi-dimensional Markov chain in the input space. The proposed approach is illustrated through a simulation example.

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Aditya Tulsyan, Swanand R. Khare, Biao Huang, R. Bhushan Gopaluni, J. Fraser Forbes. 2013-07-23. Input design for Bayesian identification of non-linear state-space models. https://arxiv.org/abs/1307.6258

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