System Identification for Continuous-time Linear Dynamical Systems

• URL: http://arxiv.org/abs/2308.11933v3
• Date: Thu, 27 Jun 2024 01:09:29 GMT
• Title: System Identification for Continuous-time Linear Dynamical Systems
• Authors: Peter Halmos, Jonathan Pillow, David A. Knowles,
• Abstract summary: Generalizing the learning of latent linear dynamical systems to continuous-time may extend the use of the hybrid Kalman filter. We apply the method by learning the parameters of a latent, multivariate Fokker-Planck SDE representing a toggle-switch genetic circuit.
• Score: 0.7510165488300368
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The problem of system identification for the Kalman filter, relying on the expectation-maximization (EM) procedure to learn the underlying parameters of a dynamical system, has largely been studied assuming that observations are sampled at equally-spaced time points. However, in many applications this is a restrictive and unrealistic assumption. This paper addresses system identification for the continuous-discrete filter, with the aim of generalizing learning for the Kalman filter by relying on a solution to a continuous-time It\^o stochastic differential equation (SDE) for the latent state and covariance dynamics. We introduce a novel two-filter, analytical form for the posterior with a Bayesian derivation, which yields analytical updates which do not require the forward-pass to be pre-computed. Using this analytical and efficient computation of the posterior, we provide an EM procedure which estimates the parameters of the SDE, naturally incorporating irregularly sampled measurements. Generalizing the learning of latent linear dynamical systems (LDS) to continuous-time may extend the use of the hybrid Kalman filter to data which is not regularly sampled or has intermittent missing values, and can extend the power of non-linear system identification methods such as switching LDS (SLDS), which rely on EM for the linear discrete-time Kalman filter as a sub-unit for learning locally linearized behavior of a non-linear system. We apply the method by learning the parameters of a latent, multivariate Fokker-Planck SDE representing a toggle-switch genetic circuit using biologically realistic parameters, and compare the efficacy of learning relative to the discrete-time Kalman filter as the step-size irregularity and spectral-radius of the dynamics-matrix increases.

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