Incorporating knowledge about model structure in the identification of Gaussian-process models

Dynamic system identification with Gaussian-process prior model is a probabilistic, nonparametric modelling method for identification. Gaussian-process models provide, besides the prediction, also the information about prediction uncertainty based on the availability or uncertainty of the data used for the modelling. An advantage of this kind of model is a small number of training parameters, a facilitated structure determination and the possibility to include various sorts of prior knowledge into the model. One of possibilities is to include blockstructure knowledge like Hammerstein model structure. The identification procedure of Gaussian-process model with Hammerstein model structure will be presented and illustrated with an example. Key–Words: System identification, Gaussian process models, dynamic systems, Hammerstein model.