Practical Bayesian System Identification using Hamiltonian Monte Carlo

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 main contribution of the paper is to examine and illustrate the efficacy of a particular proposal density based on energy...

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Hauptverfasser:	Hendriks, Johannes, Wills, Adrian, Ninness, Brett, Dahlin, Johan
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science - Systems and Control Statistics - Applications
Online-Zugang:	Volltext bestellen
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