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A new kernel-based approach to system identification with quantized output data
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DOI：10.1016/j.automatica.2017.07.053.png)
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Abstract
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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. (C) 2017 Elsevier Ltd. All rights reserved.
Keywords:
System identification
Kernel-based methods
Quantized data
Expectation-maximization
Gibbs sampler
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