A Bayesian transfer sparse identification method for nonlinear ARX systems

Summary In this paper, we design a transfer sparse identification algorithm under the Bayesian framework through introducing other system knowledge into the system to be identified. This method provides a new identification solution for a nonlinear autoregressive model with exogenous inputs (NARX). The estimates of the transferred parameters are calculated by adding the transfer correction term to the un‐transferred estimates. To achieve this, a joint prior distribution is devised for the parameters, ultimately enhancing the efficient utilization of existing data, reducing the reliance on new data, and achieving more accurate identification. The maximized marginal likelihood method is used to find the transfer gain and the transfer information matrix in the transfer correction term. Meanwhile, in order to make the algorithm automatically adapt to different data, we design an automatic structure detection method based on the transfer framework. The method automatically determines the sparsity threshold based on the maximum inter‐class variance. Two examples are provided to demonstrate the advantages of our algorithm.