Identification of a Duffing oscillator using particle Gibbs with ancestor sampling

The Duffing oscillator remains a key benchmark in nonlinear systems analysis and poses interesting challenges in nonlinear structural identification. The use of particle methods or sequential Monte Carlo (SMC) is becoming a more common approach for tackling these nonlinear dynamical systems, within structural dynamics and beyond. This paper demonstrates the use of a tailored SMC algorithm within a Markov Chain Monte Carlo (MCMC) scheme to allow inference over the latent states and parameters of the Duffing oscillator in a Bayesian manner. This approach to system identification offers a statistically more rigorous treatment of the problem than the common state-augmentation methods where the parameters of the model are included as additional latent states. It is shown how recent advances in particle MCMC methods, namely the particle Gibbs with ancestor sampling (PG-AS) algorithm is capable of performing efficient Bayesian inference, even in cases where little is known about the system parameters a priori. The advantage of this Bayesian approach is the quantification of uncertainty, not only in the system parameters but also in the states of the model (displacement and velocity) even in the presence of measurement noise.