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A Variational Approach for the Online Dual Estimation of Spatiotemporal Systems Governed by the IDE

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Original languageEnglish
Title of host publicationProceedings of the 18th IFAC World Congress, 2011
PublisherInternational Federation of Automatic Control
Pages3204-3209
Number of pages6
ISBN (Print)978-3-902661-93-7
DOIs
Publication statusPublished - 28 Aug 2011

Abstract

A dual variational Bayes filter for states and parameter estimation in IDE based spatiotemporal dynamic systems is developed. Recursive updates are obtained from a restricted variational Bayesian perspective, using a dual filtering formulation where parameters are allowed to evolve in time. The added benefit over conventional point estimate filters is that parameter distributions are readily available for one to take advantage of in the design of complex experiments or in adaptive control scenarios. The dual filter is evaluated in a simulation study and seen to perform favorably when compared to a standard SMC approach.

ID: 24619998