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stat.AP2020
Practical Bayesian System Identification using Hamiltonian Monte Carlo
Johannes Hendriks, Adrian Wills, Brett Ninness +1
This paper considers Bayesian parameter estimation of dynamic systems using a Markov Chain Monte Carlo (MCMC) approach. The Metroplis-Hastings (MH) algorithm is employed, and the m…
stat.AP2020
A Variational Expectation-Maximisation Algorithm for Learning Jump Markov Linear Systems
Mark P. Balenzuela, Adrian G. Wills, Christopher Renton +1
Jump Markov linear systems (JMLS) are a useful class which can be used to model processes which exhibit random changes in behavior during operation. This paper presents a numerical…