Variational Bayesian Iterative Estimation Algorithm for Linear Difference Equation Systems

Junxia Ma, Qiuling Fei, Fan Guo and Weili Xiong
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Junxia Ma: Key Laboratory of Advanced Process Control for Light Industry (Ministry of Education), School of Internet of Things Engineering, Jiangnan University, Wuxi 214122, China
Qiuling Fei: Key Laboratory of Advanced Process Control for Light Industry (Ministry of Education), School of Internet of Things Engineering, Jiangnan University, Wuxi 214122, China
Fan Guo: Department of Chemical and Materials Engineering, University of Alberta, Edmonton, AB T6G 2G6, Canada
Weili Xiong: Key Laboratory of Advanced Process Control for Light Industry (Ministry of Education), School of Internet of Things Engineering, Jiangnan University, Wuxi 214122, China

Mathematics, 2019, vol. 7, issue 12, 1-16

Abstract: Many basic laws of physics or chemistry can be written in the form of differential equations. With the development of digital signals and computer technology, the research on discrete models has received more and more attention. The estimates of the unknown coefficients in the discretized difference equation can be obtained by optimizing certain criterion functions. In modern control theory, the state-space model transforms high-order differential equations into first-order differential equations by introducing intermediate state variables. In this paper, the parameter estimation problem for linear difference equation systems with uncertain noise is developed. By transforming system equations into state-space models and on the basis of the considered priors of the noise and parameters, a variational Bayesian iterative estimation algorithm is derived from the observation data to obtain the parameter estimates. The unknown states involved in the variational Bayesian algorithm are updated by the Kalman filter. A numerical simulation example is given to validate the effectiveness of the proposed algorithm.

Keywords: iterative algorithm; variational Bayesian; parameter estimation; Kalman filter (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2019
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