A state-space approach to sparse dynamic network reconstruction

Autor:	Yue, Zuogong, Thunberg, Johan, Ljung, Lennart, Goncalves, Jorge
Rok vydání:	2018
Předmět:	Computer Science - Systems and Control
Druh dokumentu:	Working Paper
Popis:	Dynamic network reconstruction has been shown to be challenging due to the requirements on sparse network structures and network identifiability. The direct parametric method (e.g., using ARX models) requires a large amount of parameters in model selection. Amongst the parametric models, only a restricted class can easily be used to address network sparsity without rendering the optimization problem intractable. To overcome these problems, this paper presents a state-space-based method, which significantly reduces the number of unknown parameters in model selection. Furthermore, we avoid various difficulties arising in gradient computation by using the Expectation Minimization (EM) algorithm instead. To enhance network sparsity, the prior distribution is constructed by using the Sparse Bayesian Learning (SBL) approach in the M-step. To solve the SBL problem, another EM algorithm is embedded, where we impose conditions on network identifiability in each iteration. In a sum, this paper provides a solution to reconstruct dynamic networks that avoids the difficulties inherent to gradient computation and simplifies the model selection. Comment: 7 pages; preprint for CDC 2018 review
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1811.08677 Zobrazit plný text záznamu View this record from Arxiv