Rao-Blackwellized Stein Gradient Descent for Joint State-Parameter Estimation
This addresses the problem of real-time inference in nonlinear dynamic systems for applications like control and monitoring, though it appears incremental as it combines existing techniques (Rao-Blackwellization, SVGD) in a novel way.
The paper tackles online joint state estimation and parameter identification in nonlinear, time-varying systems by developing a Rao-Blackwellized Stein gradient descent filter, which combines analytical Kalman filtering for states with particle-based SVGD for parameters. It demonstrates the filter's performance on a bioreactor and a neural-network-augmented system, showing potential for adaptive, data-driven identification.
We present a filtering framework for online joint state estimation and parameter identification in nonlinear, time-varying systems. The algorithm uses Rao-Blackwellization technique to infer joint state-parameter posteriors efficiently. In particular, conditional state distributions are computed analytically via Kalman filtering, while model parameters including process and measurement noise covariances are approximated using particle-based Stein Variational Gradient Descent (SVGD), enabling stable real-time inference. We prove a theoretical consistency result by bounding the impact of the SVGD approximated parameter posterior on state estimates, relating the divergence between the true and approximate parameter posteriors to the total variation distance between the resulting state marginals. Performance of the proposed filter is validated on two case studies: a bioreactor with Haldane kinetics and a neural-network-augmented dynamic system. The latter demonstrates the filter's capacity for online neural network training within a dynamical model, showcasing its potential for fully adaptive, data-driven system identification.