Adaptive and robust experimental design for linear dynamical models using Kalman filter

2026-03-22

AI Summary

This work proposes a novel experimental design framework for dynamic systems that addresses two key limitations of existing approaches: the neglect of process noise and the reliance on unknown true parameters for computing the Fisher information matrix (FIM). By integrating Bayesian averaging with an adaptive updating mechanism, the method jointly accounts for both process and measurement noise through Kalman filtering. The FIM is computed via Bayesian averaging over the parameter prior and is continuously updated in real time as new data become available, thereby optimizing subsequent experimental inputs. This approach achieves, for the first time, robust and real-time experimental design in linear dynamic systems with process noise without requiring knowledge of the true system parameters, significantly enhancing both the information efficiency and robustness of system identification.

Technology Category

• Intelligent Robots: State Estimation
• Machine Learning: Bayesian Learning
• Search and Optimization: Sampling/Simulation-based Search

Application Category

• Graph Algorithms and Modeling for the Web: Efficient manipulation of static and dynamic Web-related graphs
• User Modeling, Personalization and Recommendation: Federated recommendation systems and personalization
• Economics, Online Markets and Human Computation: Incentives in network design for Web infrastructures and ecosystems

Abstract

Current experimental design techniques for dynamical systems often only incorporate measurement noise, while dynamical systems also involve process noise. To construct experimental designs we need to quantify their information content. The Fisher information matrix is a popular tool to do so. Calculating the Fisher information matrix for linear dynamical systems with both process and measurement noise involves estimating the uncertain dynamical states using a Kalman filter. The Fisher information matrix, however, depends on the true but unknown model parameters. In this paper we combine two methods to solve this issue and develop a robust experimental design methodology. First, Bayesian experimental design averages the Fisher information matrix over a prior distribution of possible model parameter values. Second, adaptive experimental design allows for this information to be updated as measurements are being gathered. This updated information is then used to adapt the remainder of the design.

Problem

• experimental design
• dynamical systems
• process noise
• Fisher information matrix
• model uncertainty

Innovation

• adaptive experimental design
• Bayesian experimental design
• Kalman filter
• Fisher information matrix
• linear dynamical systems