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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2507.11535 |
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| _version_ | 1866918131727859712 |
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| author | Bryutkin, Andrey Levine, Matthew E. Urteaga, Iñigo Marzouk, Youssef |
| author_facet | Bryutkin, Andrey Levine, Matthew E. Urteaga, Iñigo Marzouk, Youssef |
| contents | Standard Bayesian approaches for linear time-invariant (LTI) system identification are hindered by parameter non-identifiability; the resulting complex, multi-modal posteriors make inference inefficient and impractical. We solve this problem by embedding canonical forms of LTI systems within the Bayesian framework. We rigorously establish that inference in these minimal parameterizations fully captures all invariant system dynamics (e.g., transfer functions, eigenvalues, predictive distributions of system outputs) while resolving identifiability. This approach unlocks the use of meaningful, structure-aware priors (e.g., enforcing stability via eigenvalues) and ensures conditions for a Bernstein--von Mises theorem -- a link between Bayesian and frequentist large-sample asymptotics that is broken in standard forms. Extensive simulations with modern MCMC methods highlight advantages over standard parameterizations: canonical forms achieve higher computational efficiency, generate interpretable and well-behaved posteriors, and provide robust uncertainty estimates, particularly from limited data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_11535 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Canonical Bayesian Linear System Identification Bryutkin, Andrey Levine, Matthew E. Urteaga, Iñigo Marzouk, Youssef Machine Learning Systems and Control Computation Standard Bayesian approaches for linear time-invariant (LTI) system identification are hindered by parameter non-identifiability; the resulting complex, multi-modal posteriors make inference inefficient and impractical. We solve this problem by embedding canonical forms of LTI systems within the Bayesian framework. We rigorously establish that inference in these minimal parameterizations fully captures all invariant system dynamics (e.g., transfer functions, eigenvalues, predictive distributions of system outputs) while resolving identifiability. This approach unlocks the use of meaningful, structure-aware priors (e.g., enforcing stability via eigenvalues) and ensures conditions for a Bernstein--von Mises theorem -- a link between Bayesian and frequentist large-sample asymptotics that is broken in standard forms. Extensive simulations with modern MCMC methods highlight advantages over standard parameterizations: canonical forms achieve higher computational efficiency, generate interpretable and well-behaved posteriors, and provide robust uncertainty estimates, particularly from limited data. |
| title | Canonical Bayesian Linear System Identification |
| topic | Machine Learning Systems and Control Computation |
| url | https://arxiv.org/abs/2507.11535 |