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

arXiv:2603.23039 · eess.SY, cs.SY · Submitted 2026-03-24 · Read on arXiv

eess.SY, cs.SY

Submitted: 2026-03-24

Updated: 2026-09-18

Terminology

• Adam — 9× in this paper · explained in 2 episodes
• Fisher Information — 7× in this paper · explained in 3 episodes
• Accuracy — 5× in this paper · explained in 1 episode
• Stein Variational Gradient Descent — 5× in this paper
• Consistency — 3× in this paper · explained in 3 episodes
• Degeneracy — 3× in this paper · explained in 3 episodes
• Adaptation — 2× in this paper · explained in 1 episode
• Bayesian Inference — 2× in this paper · explained in 5 episodes
• Benchmark — 2× in this paper · explained in 2 episodes
• Computational Tractability — 2× in this paper · explained in 2 episodes
• Computational overhead — 2× in this paper · explained in 2 episodes
• System Identification — 2× in this paper · explained in 3 episodes
• Variational Inference — 2× in this paper
• Calibration — 1× in this paper · explained in 7 episodes
• Extended Kalman Filters — 1× in this paper
• Fidelity — 1× in this paper · explained in 2 episodes
• Fisher Information Matrix — 1× in this paper
• Hilbert Space — 1× in this paper · explained in 2 episodes
• Regularization — 1× in this paper · explained in 3 episodes
• Sample Efficiency — 1× in this paper · explained in 4 episodes
• Uncertainty Quantification — 1× in this paper · explained in 8 episodes

Sources

• Black box variational inference for state space models
• Variational Bayesian Adaptation of Noise Covariances in Non-Linear Kalman Filtering
• FAdam: Adam is a natural gradient optimizer using diagonal empirical Fisher information

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