Identifiability and Maximum Likelihood Estimation for System Identification of Networks of Dynamical Systems

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• github.com/jvictormata/mle_dyn_net
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Abstract

In this paper we investigate identifiability and maximum likelihood estimation for direct system identification of networks of dynamical systems. We provide necessary and sufficient conditions for network identifiability in terms of Gr\"obner bases. We show that the maximum likelihood approach is both consistent and efficient, which is in contrast to existing prediction error approaches. Moreover, our approach has wider applicability, i.e., it is applicable whenever network identifiability holds. Finally, we show that we can formulate the maximum likelihood problem without the use of a predictor, which is the key to numerically being able to solve it efficiently.

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