Journal of Structural Dynamics

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Konstantinos E. Tatsis, Vasilis K. Dertimanis & Eleni N. Chatzi

Sequential Bayesian Inference for Uncertain Nonlinear Dynamic Systems: A Tutorial.

(Issue 1)
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Abstract

In this article, an overview of Bayesian methods for sequential simulation from posterior distributions of nonlinear and non-Gaussian dynamic systems is presented. The focus is mainly laid on sequential Monte Carlo methods, which are based on particle representations of probability densities and can be seamlessly generalized to any state-space representation. Within this context, a unified framework of the various Particle Filter (PF) alternatives is presented for the solution of state, state-parameter and input-state-parameter estimation problems on the basis of sparse measurements. The algorithmic steps of each filter are thoroughly presented and a simple illustrative example is utilized for the inference of i) unobserved states, ii) unknown system parameters and iii) unmeasured driving inputs.

Index by keyword : Bayesian filtering, nonlinear non-Gaussian estimation, sequential Monte Carlo, importance sampling, Rao-Blackwellised Particle filtering

To cite this article

Konstantinos E. Tatsis, Vasilis K. Dertimanis & Eleni N. Chatzi, «Sequential Bayesian Inference for Uncertain Nonlinear Dynamic Systems: A Tutorial.», Journal of Structural Dynamics [En ligne], Issue 1, URL : https://popups.uliege.be/2684-6500/index.php?id=107.

About: Konstantinos E. Tatsis

Institute of Structural Engineering, Department of Civil, Environmental and Geomatic Engineering, ETH Zürich, Stefano-Franscini-Platz 5, 8093, Zürich, Switzerland

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