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12/14/2020
Variational State and Parameter Estimation
This paper considers the problem of computing Bayesian estimates of both...
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12/08/2020
Variational Nonlinear System Identification
This paper considers parameter estimation for nonlinear state-space mode...
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11/09/2020
Practical Bayesian System Identification using Hamiltonian Monte Carlo
This paper addresses Bayesian system identification using a Markov Chain...
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04/18/2020
Bayesian Parameter Identification for Jump Markov Linear Systems
This paper presents a Bayesian method for identification of jump Markov ...
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04/18/2020
A Variational Expectation-Maximisation Algorithm for Learning Jump Markov Linear Systems
Jump Markov linear systems (JMLS) are a useful class which can be used t...
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04/18/2020
A New Smoothing Algorithm for Jump Markov Linear Systems
This paper presents a method for calculating the smoothed state distribu...
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06/26/2018
Correlated pseudo-marginal Metropolis-Hastings using quasi-Newton proposals
Pseudo-marginal Metropolis-Hastings (pmMH) is a versatile algorithm for ...
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01/04/2018
Constructing Metropolis-Hastings proposals using damped BFGS updates
This paper considers the problem of computing Bayesian estimates of syst...
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01/04/2018
Sparse Bayesian ARX models with flexible noise distributions
This paper considers the problem of estimating linear dynamic system mod...
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05/16/2017