Rao-Blackwellized Stein Gradient Descent for Joint State-Parameter Estimation

TL;DR

This paper introduces a novel filtering framework that combines Rao-Blackwellization with Stein Variational Gradient Descent for efficient online joint state and parameter estimation in nonlinear, time-varying systems, enabling real-time adaptive system identification.

Contribution

The paper proposes a new Rao-Blackwellized filtering method that integrates SVGD for stable, real-time joint state-parameter estimation in nonlinear systems, with theoretical consistency guarantees.

Findings

Validated on bioreactor with Haldane kinetics.

Demonstrated online neural network training capability.

Showcased potential for fully adaptive, data-driven system identification.

Abstract

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.