ACC2022 VMP-NARMAX

Experiments and supplementary derivations for the paper entitled

"Variational message passing for online polynomial NARMAX identification"

published at the 2022 American Control Conference.

The goal is infer parameters in a polynomial NARMAX model (see ForneyLab node code) and simulate outputs. Typically, (recursive) least-squares or another form of maximum-likelihood estimation is used. In this project, we employ variational Free Energy Minimisation in the form of variational message passing on a Forney-style factor graph.

We run a series of verification experiments on data generated from a NARMAX system, comparing performance as a function of sample size, polynomial order and simulation noise.

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