Learning Dynamical Systems From Quantized Observations: A Bayesian Perspective

Abstract

Identification of dynamical systems from lowresolution quantized observations presents several challenges because of the limited amount of information available in the data and since proper algorithms have to be designed to handle the error due to quantization. In this paper, we consider identification of Infinite Impulse Response (IIR) models from quantized outputs. Algorithms both for maximum-likelihood estimation and Bayesian inference are developed. Finally, a particle-filter approach is presented for recursive reconstruction of the latent non-quantized outputs from past quantized observations.