Computer-Aided Civil and Infrastructure Engineering 00 (2018) 1–19

Full Gibbs Sampling Procedure for Bayesian System

Identification Incorporating Sparse Bayesian Learning
with Automatic Relevance Determination
Yong Huang*
Key Lab of Structures Dynamic Behavior and Control of the Ministry of Education, School of Civil Engineering, Harbin
Institute of Technology and Key Lab of Smart Prevention and Mitigation for Civil Engineering Disasters of the Ministry
of Industry and Information, Harbin Institute of Technology, Harbin, China

&

James L. Beck
Division of Engineering and Applied Science, California Institute of Technology, Pasadena, CA, USA

Abstract: Bayesian system identification has attracted
substantial interest in recent years for inferring struc-
tural models and quantifying their uncertainties based
on measured dynamic response in a structure. The rel-
ative plausibility of each structural model in a speci-
fied model class is quantified by its posterior probability
from Bayes’ Theorem. The relative plausibility of each
model class within a set of candidate model classes for
the structure can also be assessed via Bayes’ Theorem.
Computation of this posterior probability over all can-
didate model classes automatically applies a quantitative
Ockham’s razor that trades off a data-fit measure with
an information-theoretic measure of model complexity,
which penalizes model classes that “over-fit” the data.
In this article, we first present a general Bayesian sys-
tem identification framework and point out that combin-
ing it with sparse Bayesian learning (SBL) is an effective
strategy to implement the Bayesian Ockham razor. Then
we review our recent progress in exploring SBL with the
automatic relevance determination likelihood concept to
detect and quantify spatially sparse substructure stiffness
reductions. To characterize the full posterior uncertainty
for this problem, an improved Gibbs sampling procedure
for SBL is then developed. Finally, illustrative results are
provided to compare the performance and validate the
∗ To
whom correspondence should be addressed.
huangyong@hit.edu.cn and huangyongthere@outlook.com.

C 2018 Computer-Aided Civil and Infrastructure Engineering.
capability of the presented SBL algorithms for structural
system identification.
1 INTRODUCTION
In the last decade, worldwide efforts to implement
structural health monitoring (SHM) systems on civil
infrastructure have been rewarded by an increasing
number of collected data sets of structural vibration
response. Despite the importance of these structural
vibration records to understand the behavior and
performance of real, full-scale structures under real
environmental conditions, analysis of these data has
lagged far behind their rate of collection. Systematic
computer-based information extracting techniques,
such as those developed in system identification re-
search are a key component in model-based inversions
in SHM for detection and assessment of damage. In sys-
tem identification, the goal is to use observed structural
response data and prior knowledge about the structure
to update mathematical models of the behavior of a
system such as a bridge or building when subject to
dynamic excitation. In addition to SHM, the goals of
such data-informed modeling might also include pro-
viding a better understanding of the structural system’s
behavior and allowing more accurate predictions of
E-mail:
its future response to specified excitations. Despite a
long history, the development of algorithms for system

DOI: 10.1111/mice.12358
2 Huang & Beck
identification continues to be an active area of research
in structural dynamics (e.g., Green et al., 2015; Shan
et al., 2016; Perez-Ramirez et al., 2016; Huang et al.,
2017b; Vakilzadeh et al., 2017; Oh et al., 2017; Li et al.,
2017; Amezquita-Sanchez et al., 2017).
One of the main difficulties in system identification
is that it is impossible to exactly model the full be-
havior of a structure by using the limited sensor data
and prior knowledge available. As any model gives an
approximation to the real system behavior, there are
always modeling uncertainties involved; for example,
what values of the model parameters are appropriate
and how well does the model predict the real system re-
sponse? Another difficulty is that for complex system
models, single-point parameter estimation often gives
nonunique results (e.g., multiple least-squares or max-
imum likelihood estimates). To make more robust pre-
dictions, one should track all plausible values of the
parameters based on the data and also explicitly treat
the uncertain prediction errors (the difference between
the response of the real system and that of the system
model), as well as possible measurement errors. These
issues have motivated numerous researchers to tackle
the problem of structural system identification from a
Bayesian perspective (e.g., Beck, 2010; Green et al.,
2015; Huang et al., 2017b).
In contrast to the point estimates of the parameters
used in the conventional deterministic or frequentist–
probabilistic methods, the Bayesian probabilistic
framework uses Bayes’ Theorem to quantify the rela-
tive plausibility based on the data of all possible values
of the model parameters via their posterior probability
density function (PDF). This procedure is used to
learn about all plausible models for representing the
system’s behavior where each parameter value specifies
a possible model for the system. As there is always
uncertainty in which parameterized model class to
choose to represent a system, one can also choose a set
of candidate model classes and calculate their posterior
probability based on the data by applying Bayes’ The-
orem at the model class level. An information-theoretic
interpretation (Beck, 2010) shows that the posterior
probability of each model class depends on the differ-
ence between a measure of the average data-fit of the
model class and the amount of information extracted
from the data by the model class, which penalizes
model classes that “over-fit” the data. Comparing the
posterior probability of each model class therefore
provides a quantitative Ockham (Occam) Razor (Gull,
1988; Jefferys and Berger, 1992; Mackay, 1992), that is,
loosely speaking, models should be no more complex
than is sufficient to explain the data.
Sparse Bayesian learning (SBL) is a method that
uses this Bayesian Ockham Razor to induce sparseness
during parameter estimation and model updating. By
introducing a hierarchical Bayesian model class, this
machine learning technique is able to select automat-
ically a sparse subset of all the uncertain parameters
solely from the available data. SBL with an automatic
relevance determination (ARD) prior was originally
introduced for the relevance vector machine (Tipping,
2000) and sparse principal component analysis (Tip-
ping, 2001b). It has been used recently in earthquake
engineering (Mu and Yuen, 2017), compressive sensing
of SHM signals (Huang et al., 2014), and geotechnical
engineering (Ching et al., 2017; Wang and Zhao, 2017).
A key feature in using SBL with the ARD prior is that
the model of the observations is a linear function of
those model parameters for which sparseness is to be
enforced. This is not the case, however, when updating
the stiffness parameters in a structural model.
Recently, we introduced SBL into Bayesian system
identification by incorporating the concept of ARD
through a likelihood function rather than through a
prior as in the original SBL approach (Tipping, 2001a).
Our procedure gives an effective implementation of
the Bayesian Ockham Razor and automatically induces
sparse changes in model updating, which reduces
the ill-conditioning in inferring the updated stiffness
parameter values. In a series of three papers, we
have introduced and then improved our SBL theory
for system identification by finding ways to remove
approximations, so that we can better characterize the
posterior uncertainty of the parameters and hyperpa-
rameters (Huang and Beck, 2015; Huang et al., 2017a,
b). In this work, we further improve our SBL approach
by providing a full characterization of the posterior
uncertainty rather than just using maximum a posteriori
(MAP) values for the hyperparameters, which is accom-
plished by developing a SBL procedure for Bayesian
system identification based on full Gibbs sampling (GS).
The remainder of the article is organized as fol-
lows. In Section 2, we present a general framework
for Bayesian system identification. SBL with the ARD
prior is then introduced together with the Bayesian
Ockham Razor in Section 3, with a discussion of why
they induce sparseness during Bayesian updating. In
Section 4, we give an overview of our recent progress
in developing SBL algorithms for system identification
and propose a new full GS based SBL algorithm to fully
characterize the posterior uncertainty. We then com-
pare our new SBL algorithm with two previous SBL
algorithms of ours in terms of theory and computa-
tion. Applications of our Bayesian methods to struc-
tural data for a well-known experimental benchmark
problem are presented in Section 5 to show the capabil-
ity of these methods. Concluding remarks are made in
Section 6.
 Full Gibbs sampling procedure for Bayesian system identification incorporating sparse Bayesian learning
2 BAYESIAN SYSTEM IDENTIFICATION
Consider the problem of predicting the output z(t) to
some input u(t) of a real dynamic system over some
time interval, t ∈ [0, t f ], by using a computational model
of the system. We use un = u(nt) ∈ R N I and zn =
z(nt) ∈ R No to denote the real system input and out-
put, respectively, at discrete times tn = nt, n ∈ Z+ , and
use u0:n = [u0T , u1T , . . . , unT ]T and z0:n = [z0T , z1T , . . . , znT ]T
to denote the discrete-time histories of the system input
and output up to time tn .
2.1 Stochastic model class
In modeling the input and output (I/O) behavior of
a real system, one cannot expect any chosen deter-
ministic model to make perfect predictions and the
prediction errors of any such model will be uncer-
tain. This motivates the introduction of a stochas-
tic (or Bayesian) model class M (Beck, 2010) for a
system that consists of a set of stochastic I/O pre-
dictive models (also called stochastic forward models)
{ p(z1:n |u0:n , w, M) : w ∈ W ⊂ R N p } where each model is
specified by a PDF valid for any n ∈ Z+ , together with
a chosen prior probability distribution p(w|M) over this
set that quantifies the initial relative plausibility of each
I/O probability model corresponding to each value of
the parameter vector w. Any deterministic I/O model
of a system that involves uncertain parameters can be
used to construct such a model class for the system by
stochastic embedding (Beck, 2010) in which the Princi-
ple of Maximum Information Entropy plays an impor-
tant role (Jaynes, 1983, 2003) (see Equation (1) in the
next subsection).
2.2 Bayesian updating for a given model class
If sensor data D N = {û0:N , ŷ1:N } are available where ŷ1:N
and û0:N are the measured time histories of the system
output and the corresponding measured system input
(if available), respectively, sampled at time interval t,
then a model can be developed to predict the measured
system output yn at each time tn by using:
yn = zn + mn = qn (û0:n , w) + en + mn (1)
where mn and en denote the measurement noise and
output prediction error at time tn and the system out-
put equation zn = qn (û0:n , w) + en is used where qn is
the corresponding output of a parameterized determin-
istic model that can be based on theoretical principles
(e.g., a finite element model). A probability model can
be chosen for the I/O behavior by selecting a PDF
for e1:n that maximizes Shannon’s entropy (a measure
of uncertainty due to missing information) subject to
3
some prior constraints. This procedure is called stochas-
tic embedding of the parameterized deterministic model
in Beck (2010). A probability model can also be cho-
sen for the measurement error history m1:N based on
a separate study of the sensors, where m1:N is taken
to be probabilistically independent of the prediction
error history e1:N . This leads to a probability model
p(y1:N |û0:N , w, M) for predicting the sensor output y1:N .
In many applications, mn is negligible compared with en
and so it can be dropped, that is, the difference between
the measured system output yn and the actual output zn
is ignored but not the difference between the real sys-
tem and model outputs, zn and qn .
The data D N can be used to update the relative plau-
sibility of each stochastic I/O model p(y1:n |û0:N , w, M),
w ∈ W ⊂ R N p , defined by the stochastic model class
M, by computing the posterior PDF p(w|D N , M) from
Bayes’ Theorem:
p (w|D N , M) = p (D N |w, M) p (w|M) / p (D N |M)
(2)
= c−1 p (D N |w, M) p (w|M)
where c = p(D N |M) is the normalizing constant, which
is called the evidence or marginal likelihood for the
model class M given by data D N ; p(D N |w, M), as a
function of w, is the likelihood function, which expresses
the probability of getting data D N based on the PDF
p(y1:N |û0:N , w, M) by substituting the measured output
data ŷ1:N for y1:N . Note that a model class can be used
to perform both prior (initial) and posterior (updated
using system sensor data) robust predictive analyses,
which can be used during design and operation, respec-
tively, of a structure, based purely on the probability
logic axioms (Papadimitriou et al., 2001).
2.3 Bayesian updating for multiple model classes
Often the system modeler must choose among a set of
competing candidate model classes because of the un-
certainty in which model class best represents the dy-
namic behavior of a system. If M denotes the propo-
sition that specifies a discrete set of candidate model
classes {Mm : m = 1, 2, . . . , N M } that is being consid-
ered for a system, together with a prior probability
distribution p(Mm |M) over this discrete set, then the
posterior probability P(Mm |D N , M) can be computed
from Bayes’ Theorem at the model class level:
P(Mm |D N , M) = p (D N |Mm ) P (Mm |M) / p (D N |M) (3)
Here, p(D N |Mm ) is the evidence for Mm provided by
the data D N (additional conditioning on M is irrele-
vant), which is given by the Total Probability Theorem:
p (D N |Mm ) = ∫ p (D N |wm , Mm ) p (wm |Mm ) dwm (4)
4 Huang & Beck

where wm is the vector of model parameters for Mm . A
uniform prior probability distribution can be chosen for
the candidate model classes, that is, p(Mm |M) = 1/M,
if the model classes are considered equally plausible a
priori (our convention is to use P(·) for probabilities
and p(·) for PDFs).
The calculation of the posterior probability
P(Mm |D N , M) in Equation (3) provides a proce-
dure for Bayesian model class selection (or comparison,
or assessment), where the computation of the multi-
dimensional integral in Equation (4) for the evidence
function is vital. If there is no analytical solution for
Equation (4), Laplace’s approximation method can
be used when the model class is globally identifiable
based on the available data D N (e.g., Beck and Yuen
2004; Beck 2010). When the chosen class of models
is unidentifiable or locally identifiable based on the
data D N so that there are multiple MLEs (maximum
likelihood estimates) (Beck and Katafygiotis, 1998),
only stochastic simulation methods are practical to
calculate the model class evidence, such as the Transi-
tional Markov chain Monte Carlo simulation (MCMC)
method (Ching and Chen, 2007) or the Approximate
Bayesian Computation method (Chiachio et al., 2014;
Vakilzadeh et al., 2017). When the posterior probability
of each model class, P(Mm |D N , M), has been calcu-
lated, the Total Probability Theorem can be applied to
produce the posterior hyper-robust predictive models
that combine the predictions of all plausible model
classes in a specified set (Beck, 2010).
3 SBL AND BAYESIAN OCKHAM RAZOR
3.1 Bayesian Ockham Razor
= ∫ log [ p (D N |wm , Mm )] p (wm |D N , Mm ) dwm
 
p (wm |D N , Mm )
− ∫ log p (wm |D N , Mm ) dwm (5)
p (wm |Mm )
  
p (wm |D N , Mm )
= E [log ( p (D N |wm , Mm ))] − E log
p (wm |Mm )
where the expectations E[·] are taken with respect
to the posterior p(wm |D N , Mm ). The first term is the
posterior mean of the log likelihood function, which is a
measure of the average data-fit of the model class Mm ,
and the second term is the Kullback–Leibler informa-
tion, or relative entropy, of the posterior relative to the
prior, which is a measure of the model complexity (the
amount of information gain about wm from the data
D N ) and is always nonnegative. The merit of Equa-
tion (5) is that it shows rigorously, without introducing
ad hoc concepts, that the log evidence for Mm explicitly
builds in a trade-off between the data-fit of the model
class and its information-theoretic complexity. This is
important in system identification applications because
too complex models often lead to over-fitting of the
data and the subsequent response predictions may then
be unreliable as they depend too much on the details of
the specific data, for example, measurement noise and
environmental effects.
3.2 General formulation of SBL with the ARD prior
Given a set of I/O data D = {û, ŷ}, suppose that the
model prediction of the output is y = f(û) + e + m ∈
R No involving a deterministic function f of the input vec-
tor û, along with uncertain prediction error e and mea-
surement noise m. Assume that the function f is chosen
Np
as a weighted sum of N p basis functions { j (û)} j=1 :

Np

Comparing the posterior probability of each candidate f (û) = w j  j (û) = θ (û) w (6)
model class by Equation (4) automatically implements j=1

an elegant and powerful version of Ockham’s (Oc- where θ is an No × N p matrix with the basis functions
cam’s) Razor, known as the Bayesian Ockham Razor. { j } as columns. Analysis of this model is facilitated by
A recent interesting information-theoretic interpreta- the adjustable parameters (or weights) w ∈ R N p appear-
tion (Beck, 2010) shows that the evidence p(D N |Mm ) in ing linearly. The objective here is to infer values of the
Equation (4) explicitly builds in a trade-off between a Np
parameters {w j } j=1 such that θ(û)w is a “good” approx-
data-fit measure for the model class and an information- imation of f(û) and the parameter vector w is sparse.
theoretic measure of its complexity that quantifies SBL encodes a preference for sparser parameter vec-
the amount of information that the model class ex- tors by making a special choice for the prior distribution
tracts from the data D N . This result is based on using for the parameter vector w that is known as the ARD
Equation (2) in the expression for the normalization of prior (Mackay, 1992; Tipping, 2001a; Oh et al., 2008):
the posterior PDF:

Np

Np  
Log [ p (D N |Mm )] p (w|α) = p (w j |α j ) = N w j |0, α −1
j
j=1 j=1
= ∫ log [ p (D N |Mm )] p (wm |D N , Mm ) dwm (7)
  
Np
−1/2

1

p (D N |wm , Mm ) p (wm |Mm ) = (2π ) αj 1/2
exp − α j w 2j
= ∫ log p (wm |D N , Mm ) dwm 2
p (wm |D N , Mm ) j=1
 Full Gibbs sampling procedure for Bayesian system identification incorporating sparse Bayesian learning
where the hyperparameter α j is the prior precision (in-
verse variance) for w j . An individual hyperparameter
α j is associated independently with each weight w j ,
thereby moderating the strength of the Gaussian prior.
Note that an infinite value of α j implies that the cor-
responding coefficient w j has an insignificant contribu-
tion to the modeling of the measurements y, because it
produces essentially a Dirac delta-function at zero for
the prior, and so the posterior. By using the principle of
maximum information entropy (Jaynes, 1983) and incor-
porating the first two moments of y as constraints, the
combination of the prediction error and measurement
noise e is modeled as a zero-mean Gaussian vector with
covariance matrix β −1 I No , which gives a Gaussian pre-
dictive PDF:
− No β in-the-parameters expansion of possible terms in Equa-
p (y|w, β) = 2π β −1 2 exp −  y − θ (û) w 22
2 tion (6) are suppressed, where each subset of terms
Np (8)
= N (y|θ (û) w, β −1 I No )
j=1
By substituting the data ŷ for y, Equation (8) gives
a Gaussian likelihood function that measures how
well the model for specified parameters w and β
predicts the measurements ŷ. A stochastic model class
M(α, β) is then defined by the I/O predictive model in
Equation (8) and the prior PDF on w given by
Equation (7).
The posterior distribution p(w|ŷ, α, β) over the
weight parameters given by model class M(α, β) is
computed based on Bayes’ theorem:
p (w|ŷ, α, β) = p (ŷ|w, β) p (w|α) / p (ŷ|α, β)
where p(ŷ|α, β) = ∫ p(ŷ|w, β) p(w|α)dw is the evidence
of the model class M(α, β). As both the prior and
likelihood for w are Gaussian and the likelihood mean
θ(û)w is linear in w, the posterior PDF can be expressed
analytically as a multivariate Gaussian distribution:
−1
p (w|ŷ, α, β) = N (w| T θ+ β −1 A T ŷ,
−1
βT  + A ) (10)
where A = diag(α j , . . . , α N p ).
A continuous set of candidate model classes M(α, β)
is defined above, and the robust posterior PDF
p(w|ŷ) can be computed by integrating out the poste-
rior uncertainty in α and β as below. We assume that
the posterior p(α, β|ŷ) is highly peaked at {α̃, β̃} (the
MAP value of {α, β}). We then treat [α, β] as a “nui-
sance” parameter vector and integrate it out by ap-
plying Laplace’s asymptotic approximation (Beck and
Katafygiotis, 1998):
p (w|ŷ) = ∫ p (w|ŷ, α, β) p (α, β|ŷ) dαdβ
≈ p w|ŷ, α̃, β̃
5
where:
 
α̃, β̃ = arg max p (α, β|ŷ)
[α,β]
  (12)
= arg max p (ŷ|α, β) p (α) p (β)
[α,β]
If we assign flat, noninformative prior PDFs for α and
β, this is equivalent to maximizing the evidence function
p(ŷ|α, β).
3.3 Bayesian Ockham Razor implementation in SBL
Finding the optimal values (α̃, β̃) of the hyper-
parameters as in Equation (12) is a procedure corre-
sponding to Bayesian model class selection (Beck and
Yuen, 2004) because some of the terms in the linear-
could form a separate model class. Recall from Equa-
tion (5) that the evidence function p(ŷ|α, β) can be ex-
pressed as a difference of posterior expectations:
Log [ p (ŷ|α, β)] = E [log ( p (ŷ|w, β))]
(13)
− E [log [ p (w|ŷ, α, β) / p (w|α)]]
It is found in Huang et al. (2014) that the data-fit
measure (the first term) decreases with a lower spec-
ified prediction accuracy (smaller β), and this is asso-
ciated with sparser models (more α j s tend to infinity
during the optimization). This is because smaller β al-
lows more of the data misfit to be treated as prediction
errors. At the same time, smaller β, with the associated
(9) larger α j s, produce a smaller Kullback–Leibler infor-
mation (the second term in Equation (13)) between the
posterior PDF and the prior PDF, indicating that less in-
formation is extracted from the measurements ŷ by the
updated model and that the data-fit term is penalized
less by the positive second term in Equation (13). On
the other hand, larger β produces a model that fits the
measurements with smaller error (larger data-fit mea-
sure in Equation (13)) but the model is under sparse
(more nonzero terms in Equation (6)) and so its relative
entropy (information entropy) is large (second term in
Equation (13) penalizes data-fit more). In both cases,
smaller and larger β, the models give a trade-off be-
tween data-fitting and model complexity (more sparse-
ness corresponds to less model complexity) that may
not be the optimal one that maximizes the log evidence
in Equation (13). The learning of hyperparameters α
and β by maximizing the evidence function p(ŷ|α, β) as
in Equation (12) produces the optimal trade-off that
causes many hyperparameters α j to approach infinity
with a reasonably large value of β, giving a model w that
is both sufficiently sparse and fits the data vector ŷ well,
(11) that is, it gives the best balance between data-fitting and
6 Huang & Beck
model complexity. We can also say that SBL automati-
cally penalizes models that “under-fit” or “over-fit” the
associated data ŷ. This is the Bayesian Ockham Razor
at work.
Remark 3.1. We have found the SBL algorithm with
ARD suffers from a robustness problem if the number
of measurements No is much smaller than the number of
model parameters N p : there are local maxima for
Equation (12) that may trap the hyperparameter opti-
mization, leading to non-robust Bayesian updating re-
sults (Huang et al., 2014). Several robustness enhance-
ment algorithms (Huang et al., 2014, 2016) have been
developed based on different strategies, with the goal of
increasing signal reconstruction accuracy in compressive
sensing for structural health monitoring signals.
4 APPLYING SBL TO SYSTEM
IDENTIFICATION
4.1 Hierarchical Bayesian model class for system
identification
Suppose that we apply Bayesian modal identification
(e.g., Yuen and Katafygiotis, 2001) to appropriate dy-
namic data from a structure and take the most proba-
ble posterior (MAP) values of the modal parameters.
Denote the vector of identified natural frequencies by
ω̂2 ∈ R Ns Nm × 1 (Ns and Nm are the number of modal
identifications performed and the number of extracted
modes from the response data, respectively) and mode
shapes by ψ̂ ∈ R Ns Nm No × 1 (No is the number of measured
degrees of freedom [DOFs]). As No is usually smaller
that Nd , the number of DOFs of an appropriate struc-
tural model, we introduce the system natural frequen-
cies ω2 ∈ R Nm × 1 and system mode shapes φ ∈ R Nd Nm × 1
to represent the actual underlying modal parameters of
the assumed linear dynamics of the structural system
at all DOFs corresponding to those of the structural
model.
We choose a set of parameterized linear struc-
tural models with classical damping to produce nor-
mal modes of vibration where each model has the
same known mass matrix M ∈ R Nd ×Nd , which can be
accurately inferred from structural drawings. Taking
an appropriate substructuring (perhaps focusing on
likely damage locations), we decompose the uncertain
stiffness matrix K ∈ R Nd ×Nd as a linear combination
of (Nθ + 1) substructure stiffness matrices K j, j = 0,
1, . . . Nθ :

Nθ
K (θ) = K0 + θjKj (14)
j=1
where K j ∈ R Nd ×Nd , j = 1, . . . , Nθ , is the prior choice
of the jth substructure stiffness matrix and the corre-
sponding stiffness scaling parameter θ j is a factor that
allows modification of the nominal jth substructure
stiffness so it is more consistent with the real structure
behavior. The stiffness matrices K j could come from a
finite-element model of the structure, then it would be
appropriate to choose all θ j = 1 to give the most proba-
ble value a priori for the parameter vector θ ∈ R Nθ . For
damage detection purposes, we will exploit the fact that
damage-induced stiffness reductions typically occur in
a small number of locations in the absence of structural
collapse, and so the potential change in θ compared with
that of a reference calibration stage is expected to be a
sparse vector with relatively few nonzero components.
The following joint prior PDF for system parameters
ω2 and φ and stiffness scaling parameters θ is chosen
(Huang and Beck, 2015):
p ω2 , φ, θ|β
 
β
Nm
−Nm Nd /2
∝ (2π/β) exp −  K (θ) − ω2m M φm 2
2
m=1
(15)
where the finite value of the equation-error precision
parameter β in Equation (15) provides a soft constraint
for the eigen-equation and it allows for the explicit con-
trol of how closely the system and model modal pa-
rameters agree. Note that we can decompose the joint
prior PDF p(ω2 , φ, θ|β) into the product of a Gaus-
sian PDF for any one of the parameter vectors that
is conditional on the other two parameter vectors and
a marginal PDF for these two parameters; for exam-
ple, p(ω2 , φ, θ|β) = p(θ|ω2 , φ, β) p(ω2 , φ|β). This helps
to establish a linear relationship between any one of the
parameter vectors and the combination of the other two
parameter vectors. Although the modal parameters are
a nonlinear function of the stiffness parameters, we will
show a series of coupled linear-in-the-parameter prob-
lems involved in our formulation.
Let θ̂u denote the unique MAP value of θu from ap-
plying Bayesian updating using a large amount of time-
domain vibration data from the calibration (undam-
aged) state. We choose θ̂u as pseudo-data to define the
likelihood function for θ when monitoring the structure
for possible damage by:

Nθ  
p θ̂u |θ, α = N θ̂u, j |θ j , α −1
j (16)
j=1
Although the conventional strategy in SBL is to use
an ARD Gaussian prior PDF (Tipping, 2001a) to model
sparseness as shown in Equation (7), here we incorpo-
rate the ARD concept in the likelihood function, along
 Full Gibbs sampling procedure for Bayesian system identification incorporating sparse Bayesian learning
Fig. 1. Acyclic graph representing the information flow in the
hierarchical Bayesian model for SBL algorithms with ARD.
with the prior on θ in Equation (15). When learning θ,
Equation (16) keeps it close to θ̂u where the closeness
of θ j to θ̂u, j is controlled by αi . In addition, Gaussian
likelihood functions:
p ψ̂|φ, η = N ψ̂|φ, η−1 I No Ns Nm (17)
p ω̂2 |ω2 , ρ = N ω̂2 |Tω2 , ρ −1 I Ns Nm (18)
are defined for the system parameters ω2 and φ
with precision parameters ρ and η, respectively. In
Equation (17),  ∈ R No Ns Nm ×Nd Nm with “1s” and “0s”
picks the observed DOFs in the “measured” mode
shape data set from the full system mode shapes φ.
In Equation (18), T = [I Nm , . . . , I Nm ]T ∈ R Ns Nm ×Nm is
the matrix which connects the vector of Ns sets of
Nm identified natural frequencies ω̂2 and the Nm sys-
tem natural frequencies ω2 . In addition, we model our
prior uncertainty in the equation-error precision β by
an exponential hyperprior p(β|b0 ) with rate parame-
ter b0 . The prior PDFs for η, ρ, αi and b0 are taken
as Gamma distributions with very small scale and rate
parameters, which make these priors noninformative
over a logarithmic scale. The proposed modeling con-
stitutes a multistage hierarchical model as shown in
Figure 1. The bidirectional arrows in the graph of the
hierarchical Bayesian model represents the informa-
tion dependence between structural modal parameters
ω2 and φ and the stiffness parameter θ, which comes
from the joint prior p(ω2 , φ, θ|β).
In the next subsections, we review our recently pro-
posed SBL algorithms with ARD to detect and quan-
tify spatially sparse substructure stiffness reductions.
The fast SBL algorithm uses MAP values for all model
parameters except the stiffness scaling parameters θ,
whereas the partial GS SBL algorithm uses MAP val-
7
ues only for the hyperparameters, not the parameters
representing the behavior of the structure. To charac-
terize the full posterior uncertainty for this problem, we
further improved our SBL theory for system identifica-
tion by finding a way to remove all approximations by a
full GS procedure for SBL.
4.2 Fast SBL algorithm
To facilitate the goal of presenting a fast algorithm to
perform SBL, we focus on an analytical derivation of
the posterior PDF of the stiffness scaling parameter
θ and collect all uncertain parameters except θ in the
T
vector δ = [(ω2 ) , ρ T , φT , η, α T , β, b0 ]T as “nuisance”
parameters, which are treated by using Laplace’s ap-
proximation method (their posterior uncertainties are
effectively ignored). The stochastic model class M(δ)
for the structural model is defined by the likelihood
functions p(θ̂u |θ, α), p(ω̂2 |ω2 , ρ), and p(ψ̂|φ, η) given
in Equations (16)–(18) and the joint priors given by
the product of p(ω2 , φ, θ|β) in Equation (15) and
the exponential prior p(β|b0 ). Based on this defined
stochastic model class M(δ), one can use the available
modal data ω̂2 and ψ̂ and pseudo-data θ̂u to update the
structural model parameters θ for system identification
purposes. We assume that the posterior p(δ|ω̂2 , ψ̂, θ̂u )
is highly peaked at δ̃ (the MAP value of δ). We then
use Laplace’s asymptotic approximation (Beck and
Katafygiotis, 1998):
p θ|ω̂2 , ψ̂, θ̂u = ∫ p θ|δ, ω̂2 , ψ̂, θ̂u p δ|ω̂2 , ψ̂, θ̂u dδ
(19)
≈ p θ|δ, ω̂2 , ψ̂, θ̂u
where p(θ|δ, ω̂2 , ψ̂, θ̂u ) is the posterior PDF for a given
model class M(δ), δ̃ = arg max p(δ|ω̂2 , ψ̂, θ̂u ), and
p δ|ω̂2 , ψ̂, θ̂u ∝ p ω̂2 , ψ̂, θ̂u |δ p (δ)
= ∫ p θ̂u |θ, α p θ|ω2 , φ, β dθ (20)
· p ω̂ |ω , ρ p ψ̂|φ, η p ω , φ|β p (β|b0 )
2 2 2
where p(ω̂2 , ψ̂, θ̂u |δ) is the evidence function for the
model class M(δ), which can be explicitly determined
analytically. The full posterior uncertainty in θ is explic-
itly incorporated when finding the MAP estimates of all
parameters in δ, although it is a nontrivial task. The full
details of the fast SBL algorithm are given in Huang
et al. (2017a).
Remark 4.1. The maximization of evidence p(ω̂2 ,
ψ̂, θ̂u |δ) is effectively implementing the Bayesian Ock-
ham Razor by assigning lower probabilities to a struc-
tural model whose parameter vector θ has too large or too
small differences from the MAP value θ̂u identified from
the calibration state (i.e., the model extracts relatively
8 Huang & Beck
more or less information, respectively, from the system
modal parameters ω2 and φ, and so from the “measured”
modal data ω̂2 and ψ̂, which can be seen from the hier-
archical model in Figure 1). This process suppresses the
occurrence of false and missed alarms for stiffness reduc-
tions.
Remark 4.2. It was found that the trade-off in the quan-
titative Bayesian Ockham Razor stated in Subsection 3.1
is sensitive to the selection of the equation-error preci-
sion parameter β. This motivated us to develop a more
sophisticated method, described in the next subsection, to
provide a fuller treatment of the posterior uncertainties.
Remark 4.3. In the fast SBL algorithm, the use of the
pseudodata θ̂u is based on the assumption that it is a
unique MAP estimate from the calibration stage due
to the large amount of time-domain vibration data and
identified modal parameters that can be collected at this
stage. In the next subsection, we relax this assumption by
explicitly considering the posterior uncertainty of θu from
the calibration stage in case there is insufficient data to get
a posterior on θu that is highly peaked at θ̂u .
4.3 SBL algorithms using GS
4.3.1 Partial GS combined with Laplace approxima-
tions. The goal of the algorithm presented here is
to provide a fuller treatment of the posterior uncer-
tainty by employing MCMC simulation methods, so
that the Laplace approximations in the fast SBL al-
gorithm that involve the system modal parameters
{ω2 , φ} and the equation-error precision parameter β
can be avoided. We implement GS to draw posterior
samples from p(φ, ω2 , θ, β|ω̂2 , ψ̂, θ̂u ) by decomposing
the whole model parameter vector into four groups
and repeatedly sampling from one parameter group
conditional on the other three groups and the avail-
able data. The effective dimension is then four, rather
than the much higher total number of model parame-
ters. Laplace’s approximation is used for the integrals
that marginalize the hyperparameters from the poste-
rior PDF, as in Equations (19) and (20).
In this GS method, the conditional posterior PDFs:
p φ|ω̂2 , ψ̂, θ̂u , ω2 , θ, β = p φ|ψ̂, ω2 , θ, β ,
p ω2 |ω̂2 , ψ̂, θ̂u , φ, θ, β = p ω2 |ω̂2 , φ, θ, β ,
p θ|ω̂2 , ψ̂, θ̂u , φ, ω2 , β = p θ|θ̂u , φ, ω2 , β ,
and p β|ω̂2 , ψ̂, θ̂u , φ, ω2 , θ
are successively sampled to generate samples from the
full posterior PDF p(φ, ω2 , θ, β|ω̂2 , ψ̂, θ̂u ) when the
number of samples n is sufficiently large (beyond burn-
in) and the Markov chain created by the GS is ergodic
(Gelman et al., 2013). From a practical point of view,
GS is ergodic when the regions of high values of the
full posterior PDFs p(φ, ω2 , θ, β|ω̂2 , ψ̂, θ̂u ) are effec-
tively connected (corresponding to the model class be-
ing either globally identifiable or unidentifiable (Beck
and Katafygiotis, 1998)), which means that sampling the
Markov chain can fully explore its stationary state when
n is large, no matter how the GS algorithm is initialized.
To derive the generic form p(w1 |ŷ, w2 , w3 , β) for
the conditional posterior PDFs p(φ|ψ̂, ω2 , θ, β),
p(ω2 |ω̂2 , φ, θ, β) and p(θ|θ̂u , φ, ω2 , β), we derive the
conditional prior PDFs p(φ|ω2 , θ, β), p(ω2 |φ, θ, β)
and p(θ|φ, ω2 , β) from Equation (15) and express them
in the following general form:
 −1 −1

p(w1 |w2 , w3 , β) = N w1 | ET E ET r, βET E (21)
where E and r are a matrix and a vector which only de-
pend on the parameters w2 and w3 ; and β is the eigen-
equation-error precision parameter. Each choice of w1 ,
w2 , and w3 is a permutation of φ, ω2 and θ.
Similarly, the likelihood functions in Equation (16),
(17), and (18) can be written in the following general
form:
p (ŷ|w1 , κ) = N (ŷ|θw1 , L (κ)) (22)
K× 1
where vector ŷ ∈ R is the available data, either θ̂u , ψ̂
or ω̂2 , w1 is θ, φ or ω2 , θ ∈ R K ×N is a matrix and L(κ) ∈
R K ×K is a diagonal covariance matrix (the diagonal ele-
ments are composed of the components in κ). For Equa-
tions (16)–(18), the choice of κ is vector α, and scalars η
and ρ, respectively.
The posterior PDF of w1 is computed by Bayes’
Theorem:
p (w1 |ŷ, w2 , w3 , β) ≈ p (w1 |ŷ, w2 , w3 , β, κ̃)
(23)
∝ p (ŷ|w1 , κ̃) p (w1 |w2 , w3 , β)
where κ̃ = arg max p(κ|ŷ, w2 , w3 , β) and we have used
Laplace’s approximation to marginalize κ from the full
posterior for w1 . By combining the Gaussian prior
p(w1 |w2 , w3 , β) in Equation (21) and the Gaussian like-
lihood p(ŷ|w1 , κ̃) in Equation (22), the Gaussian poste-
rior PDF p(w1 |ŷ, w2 , w3 , β) is obtained.
The conditional posterior PDF for β is derived as:
 
p β|ω̂2 , ψ̂, θ̂u , φ, ω2 , θ = Gamma β|a0 , b0 (24)
where the shape parameter a0 and rate parameter b0 for
the posterior gamma distribution on β are given by:
a0 = 1 + Nm Nd /2 (25a)

Nm
b0 = b̃0 +  K (θ) − ωi2 M φi 2 /2 (25b)
i= 1
 Full Gibbs sampling procedure for Bayesian system identification incorporating sparse Bayesian learning
b̃0 = arg max p(b0 |ω̂2 , ψ̂, θ̂u , φ, ω2 , θ)
The reader is referred to Huang et al. (2017b) for de-
tailed information of the SBL algorithm using GS, in-
cluding the derivation of MAP values of the hyperpa-
rameters and the pseudocodes.
Remark 4.4. It is tractable to marginalize out the
equation-error precision parameter β to remove
it from the posterior distributions as a “nuisance”
parameter, where the generic conditional posterior
PDF becomes p(w1 |ŷ, w2 , w3 ) = ∫ p(w1 |ŷ, w2 , w3 , β)
p(β|ŷ, w2 , w3 )dβ, which is a Student’s t distribution
(Huang et al., 2017b). The Student’s t PDFs have heavier
tails than the Gaussian PDFs sampled in Algorithm 1
and so the algorithm is more robust to noise and outliers.
4.3.2 Full GS procedure for SBL. In this proposed
method, the posterior uncertainties of all unknown pa-
rameters are explicitly characterized by implementing
GS to draw posterior samples from the joint posterior
PDF p(ω2 , φ, θ, β, ρ, η, α, b0 |ω̂2 , ψ̂, θ̂u ).
We have already introduced the conditional posterior
PDFs for the model parameters that are needed for GS
in the previous subsection. It remains to derive the con-
ditional posterior PDFs for the hyperparameters. The
prior PDF for the mth component κm of the hyperpa-
rameter vector κ in Equation (22) (equal to η, ρ or α) is
chosen as a Gamma distribution with parameter am and
bm , which gives a conjugate prior and allows exact pos-
terior sampling of the hyperparameter κ. The posterior
PDF of κ is obtained by using Bayes’ Theorem:
p (κ|ŷ, w1 , w2 , w3 , β, b0 ) = p (κ|ŷ, w1 )

M whole model parameter vector into the seven groups
∝ p (ŷ |w1 , κ) p (κm |am , bm )
m=1

M and the available modal data ω̂2 and ψ̂. The condi-
∝ Gamma(κm |am , bm )
m=1
where, as before, w1 is θ, φ or ω2 , and the shape and
rate parameters for the posterior Gamma distribution
become:
am = am + trace (Xm ) /2
bm = bm + (ŷ − θw1 )T X−1
m (ŷ − θw1 ) /2
where K is the length of the data vector ŷ and
Xm = ∂L1 (κ)/∂κm . Inspired by Tipping (2001a),
we fix the prior scale and rate parameters, am and
bm , for κm to be very small values in the illus-
trative examples later, which makes these priors
noninformative over a logarithmic scale. It is seen
from Equation (26) that p(κ|ŷ, w1 , w2 , w3 , β, b0 ) =
9
(25c) p(κ|ŷ, w1 ). Also, b0 is irrelevant in the condi-
tional posterior PDF p(w1 |ŷ, w2 , w3 , β, b0 , κ) =
p(w1 |ŷ, w2 , w3 , β, κ) because w1 is independent of b0
when β is given. Similarly, from Figure 1,
the conditional posterior PDF on β satisfies
p(β|ω̂2 , ψ̂, θ̂u , ω2 , φ, θ, ρ, η, α, b0 ) = p(β|φ, ω2 , θ, b0 ),
which is just the conditional prior on β. Finally, we
assign a Gamma prior distribution, Gamma(b0 |ab , bb ),
for b0 and using Figure 1, we see that the conditional
posterior for b0 is given by:
p b0 |ω̂2 , ψ̂, θ̂u , φ, ω2 , θ, η, ρ, α, β
(28)
∝ Gamma(b0 |1/2 + ab , β + bb )
The prior scale and rate parameters ab and bb for b0 are
selected to be very small values in the examples later.
The straight-forward way to implement GS is to
draw posterior samples from the joint posterior PDF
p(ω2 , φ, θ, ρ, η, α, β, b0 |ω̂2 , ψ̂, θ̂u ) by decomposing the
whole uncertain parameter vector into eight groups
{ω2 , φ, θ, α, ρ, η, β, b0 } and then iterating over the
groups by repeatedly sampling from the PDF of one
parameter group conditional on the other seven groups
and the available data.
If there are enough modal data ω̂2 and ψ̂ available
to provide sufficient information to constrain the up-
dated stiffness parameters, we can produce a GS al-
gorithm which allows a nonsparse set of stiffness
changes to be inferred. In this case, the soft con-
straint provided by Equation (16) is dropped. The pseu-
docodes for the algorithm are presented in Table 1,
where we implement GS to draw posterior samples
from p(ω2 , φ, θ, ρ, η, β, b0 |ω̂2 , ψ̂) by decomposing the
{ω2 , φ, θ, ρ, η, β, b0 } and repeatedly sampling from one
(26) parameter group conditional on the other six groups
tional posterior PDFs are readily derived from Equa-
tions (23)–(28). Note that the Markov chain samples
from the marginal posterior PDF for any parameter or
any parameter group is obtained by simply examining
the appropriate components of the joint posterior GS
samples beyond the burn-in period.
(27a) However, when we incorporate the sparseness
constraint for the stiffness changes as in Equa-
tion (16) and characterize the joint posterior
(27b)
p(ω2 , φ, θ, ρ, η, α, β, b0 |ω̂2 , ψ̂, θ̂u ) by a full GS pro-
cedure similar to the above, it becomes inefficient to
converge to the stationary state of the joint posterior
PDF; the Markov chain samples may be trapped in
local maxima of the posterior PDF of the hyperpa-
rameter α due to a very large number of uncertain
parameters to be inferred. Instead, we introduce a
sequential Bayesian inference procedure to produce
10 Huang & Beck

Table 1 Table 2
Pseudocode of GS for generating posterior samples Pseudocode of GS for generating posterior samples
(n) (n)
{ω2 , φ(n) , ρ (n) , η(n) , θ (n) , β (n) , b0 (n) }, n = 1, . . . , N1 , when {θ (n) , α (n) , β (n) , b0 (n) , φ(n) , η(n) , (ω2 ) , ρ (n) }, n = 1, . . . , N2 ,
conditional on modal data {ω̂2 , ψ̂} when conditional on modal data {ω̂ , ψ̂} and calibration value
2

θ̂u
1. Initialize the samples with ρ (0) = 100, η(0) = 100,

Ns (0)
1. Initialize the samples α j = 100 ( j = 1, . . . , N p ),
β (0) = 100, b0 = 100, (ω2 )(0) = ω̂r2 /Ns , θ (0) = θ̂u , a
r =1 β (0) = 100
chosen “calibration” value for the stiffness parameter (n)
2. Get samples {ω2 , φ(n) , ρ (n) , η(n) }, n = 1, . . . , N2 , by
vector ignoring the Markov chain samples for θ, β, and b0
2. For n = 1 to N1 obtained from the pseudocode in Table 1
(n−1)
3. Sample φ(n) ∼ p(φ|ψ̂, (ω2 ) , θ (n−1) , η(n−1) , β (n−1) ) 3. For n = 1 to N2
4. Sample η ∼ p(η|ψ̂, φ )
(n) (n) (n)
4. Sample θ (n) ∼ p(θ|θ̂u , φ(n) , (ω2 ) , β (n−1) , α (n−1) )
5. Sample (ω2 )(n) ∼ p(ω2 |ω̂2 , φ(n) , θ (n−1) , β (n−1) , ρ (n−1) ) 5. Sample α (n) ∼ p(α|θ̂u , θ (n) )
(n)
6. Sample ρ (n) ∼ p(ρ|ω̂2 , (ω2 ) ) (n)
6. Sample β (n) ∼ p(β|φ(n) , (ω2 ) , θ (n) , b0 (n−1) )
(n)
7. Sample θ (n) ∼ p(θ|φ(n) , (ω2 ) , β (n−1) ) 7. Sample b0 (n) ∼ p(b0 |β (n) )
2 (n)
8. Sample β ∼ p(β|φ , (ω ) , θ (n) , b0 (n−1) )
(n) (n)
8. End for
9. Sample b0 (n) ∼ p(b0 |β (n) ) 9. For n = 1 to N2
(n−1)
10. End for 10. Sample φ(n) ∼ p(φ|ψ̂, (ω2 ) , θ (n) , η(n−1) , β (n) )
(n)
11. Samples {ω2 , φ(n) , ρ (n) , η(n) , θ (n) , β (n) , b0 (n) : 11. Sample η ∼ p(η|ψ̂, φ )
(n) (n)

n = 1, . . . , N1 } are obtained, which are consistent with the 12. Sample (ω2 )(n) ∼ p(ω2 |ω̂2 , φ(n) , θ (n) , ρ (n) , β (n) )
joint posterior p(ω2 , φ, ρ, η, θ, β, b0 |ω̂2 , ψ̂) 13. Sample ρ (n) ∼ p(ρ|ω̂2 , (ω2 ) )
(n)

Note: Based on the hierarchical model in Figure 1, variables and data
sets are dropped in the conditioning if the parameter to be sampled is
independent of them.
a more effective sampling method based on the
hierarchical Bayesian model in Figure 1. Using the
probability product rule, the marginal posterior PDF
for {θ, α, β, b0 } can be expressed as:
p θ, α, β, b0 |ω̂2 , ψ̂, θ̂u
≈ ∫ p θ, α, β, b0 |ω2 , φ, ρ, η, θ̂u
p ω2 , φ, ρ, η|ω̂2 , ψ̂ dω2 dφdρdη
where from Figure 1, the first factor is independent of ω̂2
and ψ̂, whereas the second factor is approximated to be
independent of θ̂u . Based on Monte Carlo estimation of
the integral in Equation (29), samples can be obtained
from the marginal posterior PDF p(θ, α, β, b0 |ω̂2 , ψ̂, θ̂u )
by first sampling from the marginal posterior
p(ω2 , φ, ρ, η|ω̂2 , ψ̂), and then using each of these
samples to sample from the conditional posterior
PDF p(θ, α, β, b0 |ω2 , φ, ρ, η, θ̂u ). To generate samples
(n)
{ω2 , φ(n) , ρ (n) , η(n) }, n = 1, . . . , N , conditional on ω̂2
and ψ̂, we can use the pseudocode in Table 1 and ignore
the samples for θ, β and b0 to automatically get sam-
ples from the marginal PDF p(ω2 , φ, ρ, η|ω̂2 , ψ̂).
Then we implement the GS to collect samples
{θ (n) , α (n) , β (n) , b0 (n) }, n = 1, . . . , N , generated from
(n)
the PDF p(θ, α, β, b0 |ω2 , φ(n) , ρ (n) , η(n) , θ̂u ), where
(n)
we incorporate the nth sample {ω2 , φ(n) , ρ (n) , η(n) } in
the n th iteration sequentially. We then express the full
14. End for
(n)
Samples {θ (n) , α (n) , β (n) , b0 (n) , φ(n) , η(n) , (ω2 ) , ρ (n) :
n = 1, . . . , N2 } are obtained which are consistent with the
joint posterior p(θ, α, β, b0 , ω2 , φ, ρ, η|ω̂2 , ψ̂, θ̂u )
Note: Based on the hierarchical model in Figure 1, variables and data
sets are dropped in the conditioning if the parameter to be sampled is
independent of them.
joint posterior PDF for the whole uncertain parameter
vector as:
(29) p ω2 , φ, θ, ρ, η, α, β, b0 |ω̂2 , ψ̂, θ̂u
= p ω2 , φ, ρ, η|θ, α, β, b0 , ω̂2 , ψ̂, θ̂u (30)
p θ, α, β, b0 |ω̂ , ψ̂, θ̂u
2
To characterize the full posterior uncertainty,
we then take the previously generated samples
{θ (n) , α (n) , β (n) , b0 (n) }, n = 1, . . . , N , and draw posterior
(n)
samples {ω2 , φ(n) , ρ (n) , η(n) }, n = 1, . . . , N , from the
conditional posterior PDF p(ω2 , φ, ρ, η|θ (n) , α (n) ,
β (n) , b0 (n) , ω̂2 , ψ̂, θ̂u ), n = 1, . . . , N , by using GS. The
reader can refer to Table 2 for the pseudocodes of
the full GS algorithm, which generates the posterior
(n)
samples {θ (n) , α (n) , β (n) , b0 (n) , ω2 , φ(n) , ρ (n) , η(n) }, n =
1, . . . , N , conditional on ω̂2 , ψ̂ and θ̂u .
Remark 4.5. The analytical derivation of the conditional
posterior PDFs from Equations (23)–(28) is important
for the effectiveness of this GS algorithm. The model
parameters are arranged in eight groups represented by
{ω2 , φ, θ, α, ρ, η, β, b0 }, which leads to a very desirable
feature that it should be applicable to linear Bayesian
model updating problems of arbitrarily high dimensions,
 Full Gibbs sampling procedure for Bayesian system identification incorporating sparse Bayesian learning 11

in contrast with other MCMC algorithms, because it is
effectively like an eight-dimensional updating problem.
Remark 4.6. For the updating of the stiffness scal-
ing parameter θ and system modal parameters ω2 and
φ, the corresponding model classes M(α, β), M(ρ, β),
and M(η, β) are investigated, as seen from the hierar-
chical Bayesian model in Figure 1. The application of
Bayes’ Theorem at the model class level automatically
penalizes models of θ (ω2 or φ) that “under-fit” or “over-
fit” the associated data θ̂u (ω̂2 or ψ̂), therefore obtaining
reliable updating results for the three parameter vectors,
which is the Bayesian Ockham Razor at work (Beck,
2010).
Remark 4.7. In the implementation of GS algorithms,
the burn-in period before the Markov chain reaches its
stationary state is determined by visual inspection of a
plot of the Markov chain samples as they are sequentially
generated following the strategy in Ching et al. (2006). To
determine how many Markov chain samples to generate
after burn-in is achieved, we visually check the conver-
gence of the plotted stiffness samples of interest.
Remark 4.8. For damage detection and assessment, we
can follow Huang et al. (2017b), where the posterior un-
certainty of θu from the calibration stage in the poste-
rior sampling of the stiffness scaling parameter θ d for
the monitoring stage can be incorporated in the sampling
procedure.
Remark 4.9. Much more computing resources are re-
quired for the GS SBL algorithms than the fast SBL al-
gorithm, which is the cost for better posterior uncertainty
quantification. Therefore, the choice between these two
methods in real applications is a trade-off between the
computation time and the level of accuracy of the uncer-
tainty quantification that the user is willing to accept.
Table 3
A comparison among the three SBL algorithms for detection and quantification of sparse substructural stiffness changes
4.4 Comparison among the three algorithms
In Table 3, we compare the three algorithms presented
above with respect to several aspects of the theories and
computation. It is seen that the full GS SBL algorithm
can be applied without any concern, unlike the other
two algorithms. In addition, the full GS algorithm is also
capable of characterizing the full posterior uncertainty
of all uncertain parameters in the hierarchical model
in Figure 1. This is important because the Laplace ap-
proximation for the optimization of hyperparameters in
the fast SBL and partial GS algorithms is based on the
assumption that the posterior of these hyperparameters
has a unique maximum with a sharp peak, which may
not be the case, especially when using noisy incomplete
data from a complicated SHM field environment. How-
ever, the full GS procedure presented in this section is
still applicable, even when the model class is not glob-
ally identifiable. If the posterior uncertainty of some
of the stiffness parameters is large, however, it means
that the modal data are not sufficiently informative for
reliable inference, even with the inducement of sparse
stiffness changes. In such a case, we will have much less
confidence in the identification of the corresponding
substructure stiffness reductions and we will be left
with significant uncertainty about damage in those
substructures.
The illustrative results given later show that the full
GS algorithm outperforms the other two algorithms.
We have explicitly addressed several important issues
to enhance reliable application of the full GS algorithm
to real structural data. We discuss these issues in this
section.
4.4.1 Producing model sparseness. With regard to the
generation of model sparseness in the stiffness change
(θ − θ̂u ), both the full and partial GS algorithms treat
the uncertainty in the calibration value θ̂u because it
may be difficult to get an “accurate” structural model
based on the available data in the calibration stage. This

Fast SBL algorithm Partial GS SBL algorithm Full GS SBL algorithm

Application assumption p(ω , φ, β, ρ, η, α, b0 |ω̂ , ψ̂, θ̂u )
2 2
has a unique global maximum
Calibration value θ̂u Required to be unique with
small uncertainty
Producing model Optimize α by maximizing the
sparseness in (θ − θ̂u ) evidence function
p(θ̂u |ω̃2 , φ̃, β̃, ρ̃, η̃, α, b̃0 )
Output of the algorithm Marginal posterior distribution
of θ; MAP estimates of
{ω2 , φ, β, ρ, η, α, b0 }
Hyperparameters ρ, η, and α
have a unique MAP value
No assumption
Optimize α by maximizing the
evidence function
(n)
p(θ̂u |(ω2 ) , φ(n) , β (n) , α)
Joint and marginal posteriors of
parameters in {θ, ω2 , φ, β};
MAP estimates of {ρ, η, α, b0 }
No assumption
No assumption
Sample α from the conditional
posterior PDF p(α|θ̂u , θ (n) )
in a GS procedure
Joint and marginal posterior
distributions of parameter
in {θ, ω2 , φ, β, ρ, η, α, b0 }
12
is not done in the standard SBL algorithms. However,
the partial GS algorithm ignores the posterior uncer-
tainty in the hyperparameter α because it learns the hy-
perparameter values by maximization of the evidence
function, which induces many α j to approach infinity.
The full posterior uncertainty of the hyperparameter
vector α is treated in the full GS algorithm by sampling
from its posterior PDF, which is derived from the condi-
tional dependency in the hierarchical model in Figure 1.
This is a new strategy for inducing model sparseness that
avoids the optimization procedure for evidence maxi-
mization. This is useful as we have found that there are
local maxima of the evidence function that may trap the
hyperparameter optimization if the data quantity and
quality is insufficient, leading to non-robust Bayesian
updating results (Huang et al., 2014). We will show later
in some illustrative results that the full GS algorithm
also promotes model sparseness well.
4.4.2 Computational efficiency. The computational ef-
ficiency of the full GS algorithm is higher than that of
the partial GS algorithm. For sampling the conditional
posterior PDF of w1 (that is, θ, ω2 or φ) in each iter-
ation of the partial GS algorithm, an iterative method
is required to determine the MAP value of the hyper-
parameters κ and the posterior mean and covariance
matrix for the model parameter vector w1 because both
of these moments of w1 depend on the MAP value κ̃
and vice versa. Also, in implementation of the partial
GS algorithm, the dimension Nθ of the stiffness scal-
ing parameters θ is a concern for efficiency because its
MAP estimation has a computational effort of O(Nθ3 ),
which is computationally demanding when the dimen-
sion Nθ is not small. In the new full GS algorithm,
we enhance the computational efficiency by sampling
the hyperparameters directly and no iterative method
is required for learning them. In addition, we intro-
duce a sequential Bayesian inference procedure for GS
to alleviate the problem that it may be inefficient to
converge to the stationary state of the joint posterior
p(ω2 , φ, θ, ρ, η, α, β, b0 |ω̂2 , ψ̂, θ̂u ).
4.4.3 Uncertainty quantification of the stiffness pa-
rameters and system modal parameters. For the
partial GS algorithm, the posterior uncertainties
of the stiffness parameters and system modal pa-
rameters are underestimated because the uncer-
tainty of the approximated conditional posterior
PDF p(w1 |ŷ, w2 , w3 , β, κ̃) is always smaller than
that of the posterior PDF p(w1 |ŷ, w2 , w3 , β) =
∫ p(w1 |ŷ, w2 , w3 , β, κ) p(κ|ŷ, w2 , w3 , β)dκ, especially
when the posterior uncertainty of κ is large. It may
lead to overconfidence in the stiffness identification
Huang & Beck
and system modal parameter estimation because the
uncertainties of the hyperparameters are not explicitly
treated.
Remark 4.10. In real applications with various envi-
ronmental and operational conditions, if we do not have
any information about these conditions, prediction errors
with large variances are required to give model predic-
tions. This will lead to large posterior uncertainty for the
stiffness parameters. In this case, the full GS SBL algo-
rithm proposed can be applied without any concern be-
cause the full GS algorithm is capable of characterizing
the full posterior uncertainty of all uncertain parameters.
5 ILLUSTRATIVE RESULTS USING THE
PROPOSED FULL GS ALGORITHM
The performance of the proposed full GS algorithm is
illustrated and compared with the fast SBL algorithm
and partial GS SBL algorithm by applying them to the
brace-damage patterns in the IASC-ASCE experimen-
tal Phase II SHM benchmark problem (Dyke et al.,
2003; Ching and Beck, 2003). The benchmark struc-
ture is a four-story, two-bay by two-bay steel braced
frame that is 3.6 m high. A picture of the scaled bench-
mark structure is shown in Figure 2. We note that there
are only a few publications that have reported success-
ful localization and quantification of the damage in the
experimental Phase II SHM benchmark problem us-
ing structural response data (in contrast to the Phase I
SHM benchmark problems that use synthetic/simulated
dynamic response data) (e.g., Ching and Beck, 2003;
Huang et al., 2017b). The real data benchmarks are
Fig. 2. The steel frame scale model structure for the
benchmark studies.
 Full Gibbs sampling procedure for Bayesian system identification incorporating sparse Bayesian learning
Fig. 3. Damage patterns for brace-damage cases (the dashed
lines indicate the corresponding damaged locations): (a)
Configuration 3; (b) Configuration 4; (c) Configuration 5; and
(d) Configuration 6.
more challenging because of larger modeling errors due
to discrepancies between the mathematical model’s be-
havior and the real structure’s behavior.
The task group for the benchmark problems investi-
gated various damage configurations by removing brac-
ing and loosening beam-column connections within the
test structure. In this study, four brace damage config-
urations are investigated (see Figure 3): (a) Configura-
tion 3: removal of the left-hand side brace in each story
on the –y face; (b) Configuration 4: removal of the left-
hand side braces in the first and fourth stories on the –y
face; (c) Configuration 5: removal of the left-hand side
brace in the first story on the –y face; (d) Configuration
6: removal of two braces in the second story on the + x
face. The red dashed lines in Figure 3 indicate the cor-
responding damaged (removed) braces. We note that
Configuration 1 is the calibration (undamaged) case,
whereas Configuration 2 is the same as Configuration
3 except that all braces on the –y face are removed and
so it is a less challenging case.
For each damage configuration, experimental accel-
eration data were generated by impacts of a sledge ham-
mer. Results using a two-step probabilistic system iden-
tification approach are presented: the modal parameters
are identified in the first step and are then used in a sub-
sequent step to determine the probability distribution
13
Table 4
Considered damage pattern cases
Damaged substructures and their true
stiffness ratios with respect to the
Damage patterns undamaged values
Configuration 3 θ1,−y ,θ2,−y ,θ3,−y and θ4,−y : 77.4%
Configuration 4 θ1,−y and θ4,−y : 77.4%
Configuration 5 θ1,−y : 77.4%
Configuration 6 θ2,+x : 54.9%
on the fractional stiffness reductions f (i.e., damage ex-
tent) for each substructure. For the identified modal pa-
rameters, the reader can refer to Ching and Beck (2003)
for detailed information.
The chosen substructuring follows that of Ching and
Beck (2003), where a stiffness scaling parameter vector
θ with 16 components is defined, one for each of the four
faces of each of the four stories. When learned from the
modal data, the reduction of any θ j , j = 1 . . . ., 16, from
an undamaged calibration stage corresponds to damage
in the jth substructure. The true ratio values of real
damaged substructures with respect to the undamaged
values are tabulated in Table 4.
In Figure 4, 6,000 Markov chain samples after the
burn-in period of 4,000 samples that are generated
from the partial and full GS algorithms are plotted in
the {α1,+x , α1,+y } and {α1,−x , α1,−y } spaces for Config-
uration 5. They show that the stiffness reduction cor-
responding to θ1,−y is correctly identified and quan-
tified as far as the sample means are concerned for
both SBL algorithms. However, the full GS SBL al-
gorithm identifies this stiffness reduction with higher
confidence (smaller posterior uncertainty) and all of
the samples indicate that there is a damage occur-
ring for the substructure θ1,−y for the full GS SBL
algorithm. Regarding the posterior uncertainties for
different substructures, smaller posterior uncertain-
ties can be observed in the stiffness scaling parame-
ters θ j s for undamaged substructures (e.g., θ1,+x and
θ1,−x ) for both algorithms, because the correspond-
ing hyperparameters α j s approach very large values
during the optimization (for partial GS algorithm)
or sampling (for full GS algorithm), inhibiting the
change in these parameters. To show this, in Fig-
ure 5 we plot the corresponding MAP values (par-
tial GS algorithm) and posterior samples (full GS al-
gorithm) of each hyperparameter α j corresponding to
each θ j in Figure 4. It is seen that for both algo-
rithms, the α1,+x and α1,−x values for the undamaged
substructures θ1,+x and θ1,−x are much larger than the
α1,−y s for the damaged substructure, which indicates
much higher confidence in the closeness to the calibra-
tion value and leads to a consequence that the stiffness
14 Huang & Beck

Fig. 4. Post burn-in samples for some posterior stiffness
parameters for the Configuration 5 scenario, plotted in:
(a) and (c) {α1,+x , α1,+y }; (b) and (d) {α1,−x , α1,−y } spaces, by
running: (a) and (b) partial GS SBL algorithm; (c) and (d)
full GS SBL algorithm.
Fig. 5. (a) and (b) MAP values; (c) and (d) post burn-in
samples for hyperparameter α for Configuration 5 scenario,
plotted in: (a) and (c) {α1,+x , α1,+y }; (b) and
(d) {α1,−x , α1,−y } spaces, by running: (a) and (b) partial GS
SBL algorithm; (c) and (d) full GS SBL algorithm.
 Full Gibbs sampling procedure for Bayesian system identification incorporating sparse Bayesian learning
Fig. 6. Markov chain samples for the equation-error
precision parameter β for Configuration 5 scenario.
parameters of the undamaged substructures θ1,+x and
θ1,−x are identified with smaller posterior uncertainties.
What is interesting is that the α1,+y values correspond-
ing to undamaged substructure θ1,+y are also larger than
α1,−y s but are smaller than α1,+x s and α1,−x s (Figures
4a and c), which induces a lot of θ1,+y samples hav-
ing large stiffness increases from the calibration value,
as seen in Figures 4a and c. This is because the cho-
sen Gaussian likelihood function for the stiffness scal-
ing parameter θ in Equation (18) allows the stiffness
to increase and decrease from the calibration value
with equal chance. In Huang et al. (2017a), a constraint
that suppresses stiffness increases from the calibration
state is imposed in the fast SBL algorithm and the ill-
conditioning in real damage inversions is effectively al-
leviated.
Overall, from the observations in Figures 4 and 5, we
conclude that both SBL algorithms with ARD are ca-
pable of promoting model sparseness. With regard to
the comparison between the two algorithms, some α j s
are larger for the full GS SBL algorithm than the partial
GS algorithm, where the difference comes from distinct
strategies for learning the hyperparameter α in the two
algorithms.
In Huang et al. (2017a), it is found that the stiffness in-
version is sensitive to the selection of the equation-error
precision parameter β. In Figure 6, the Markov chain
samples of the equation-error precision parameter β for
Configuration 5 scenario are presented. It is observed
that the posterior PDF for β characterized by the GS
samples has large uncertainties and few samples are re-
quired to reach the stationary state, presumably because
15
the large posterior uncertainties in the prediction er-
ror precision parameter in this real data case conceal
the fluctuation of the samples in the transient (burn-
in) period. In addition, it is seen that the mean and
the variance of samples of β are similar for the two al-
gorithms, which is consistent with the observation that
similar stiffness results are produced for the two GS al-
gorithms in the Configuration 5 scenario.
The plots in Figures 7–10 for Configurations 3–6
are the posterior probability densities for the damage
extent fraction f, which is the decrease in each stiffness
parameter divided by its original calibration value.
Damaged substructures should have large posterior
probability density values where the stiffness reduction
value is close to the real value. For the fast SBL
algorithm (Figures 7–10a), the probability densities are
approximated by Gaussian PDFs based on the posterior
mean and variance of the substructure stiffness param-
eters before and after possible damage (Vanik et al.,
2000). For the GS SBL algorithms (Figures 7b, 7c, 8b,
8c, 9b, 9c, 10b, and 10c), the probability densities are
approximated by kernel PDFs based on the posterior
Markov chain samples (excluding 4,000 in the burn-in
period) of the substructure stiffness parameters before
and after possible damage (Ching et al., 2006).
It is clear that all the actual damage patterns (see
Table 4) are detected for all three algorithms because
the probability densities are shifted toward the larger
damage extents. However, when running the fast SBL
algorithm, there is a concern of a missed damage
detection for Configuration 3 (Figure 7) where the
real damaged substructure θ2,−y has a probability
density centered close to zero damage extent, which
is not the case for the two GS SBL algorithms. The
performance of the two GS algorithms is similar,
although the occurrence of false damage detections
(actual undamaged substructures that have probability
densities shifted to larger damage extents) occurs less
often for the full GS SBL algorithm for Configuration
5 (Figure 9) and Configuration 6 (Figure 10), due to
the robust treatment of the hyperparameters by a fuller
posterior uncertainty quantification. For example, false
damage detections are observed for the Configuration
5 scenario due to biased estimates of θ2,+x and θ2,−x for
the partial GS algorithm that are not seen for the full
GS algorithm. Also, for the Configuration 6 scenario,
the probability density for θ4,−y is shifted to larger
damage extents for the fast and partial GS algorithms,
which produces false detections, but this does not occur
for the full GS algorithm. In Configuration 4 (Figure 8),
two undamaged substructures are observed as having
significant probability densities at larger damage ex-
tents for all three algorithms, producing false damage
detections for substructure θ4,+x and θ4,−x .
16 Huang & Beck

(a) (b) (c)

Fig. 7. Configuration 3 scenario: (a) posterior PDFs for the fast SBL algorithm; (b) and (c) posterior PDFs by running: (b) partial
GS SBL algorithm; (c) full GS SBL algorithm. The damage substructures correspond to θ1,−y, θ2,−y, θ3,−y and θ4,−y .

(a) (b) (c)

Fig. 8. Configuration 4 scenario: (a) posterior PDFs for the fast SBL algorithm; (b) and (c) posterior PDFs by running: (b) partial
GS SBL algorithm; (c) full GS SBL algorithm. The damage substructures correspond to θ1,−y and θ4,−y .

In real implementations, there is a concern that when bustness of the algorithm. We observed this type of be-
implementing the partial GS SBL algorithm, there may havior when applying SBL for Bayesian compressive
be some local maxima that trap the optimization of the sensing by optimization of the evidence with respect to
hyperparameters {α, ρ, η, b0 } and hence reduce the ro- the hyperparameters of the hierarchical model (Huang
 Full Gibbs sampling procedure for Bayesian system identification incorporating sparse Bayesian learning 17

(a) (b) (c)

Fig. 9. Configuration 5 scenario: (a) posterior PDFs for the fast SBL algorithm; (b) and (c) posterior PDFs by running: (b) partial
GS SBL algorithm; (c) full GS SBL algorithm. The only damage substructure corresponds to θ1,−y .

(a) (b) (c)

Fig. 10. Configuration 6 scenario: (a) posterior PDFs for the fast SBL algorithm; (b) and (c) posterior PDFs by running: (b)
partial GS SBL algorithm; (c) full GS SBL algorithm. The only damage substructure corresponds to θ2,+x .

et al., 2014, 2016). This concern is alleviated for the full
GS SBL algorithm because its correct characterization
of the posterior uncertainty of all uncertain parameters
is expected to help the algorithm escape being trapped
in local maxima.
6 CONCLUDING REMARKS
Probability as a logic provides a rigorous framework
for a Bayesian approach to quantifying modeling un-
certainty in model updating in system identification.
18 Huang & Beck
It allows plausible reasoning about structural behav-
ior based on incomplete information. A key con-
cept is a stochastic system model class, which defines
the fundamental probability models that allow robust
stochastic structural analyses to be performed. Such a
model class can be constructed by stochastic embed-
ding of any deterministic model of the structure’s I/O
behavior. One distinguishing aspect of the Bayesian
framework is marginalization of posterior PDFs, where
instead of seeking to estimate all “nuisance” parame-
ters in the models, the goal is to integrate them out
to properly preserve their contribution to the poste-
rior uncertainty of the parameters of interest. This al-
lows us to assess the relative plausibility of each model
within a set of candidate model classes chosen to repre-
sent the uncertain structural behavior. Applying Bayes’
Theorem at the model class level automatically penal-
izes models that are too simple (“under-fit” the data)
and too complex (“over-fit” the data), which is the
Bayesian Ockham Razor at work. This quantitative im-
plementation of Ockham’s Razor is a natural conse-
quence of applying Bayesian updating at the model class
level.
SBL is an effective strategy to incorporate sparse-
ness during model updating by introducing a hierarchi-
cal model and automatically implementing the Bayesian
Ockham Razor with respect to the hyperparameters
that control the sparseness. The focus in this article is
applying SBL with ARD in Bayesian system identifi-
cation based on noisy incomplete modal data where
we can impose spatially sparse stiffness changes when
updating a structural model. In general, the ARD ap-
proach allows model class selection by suppressing
terms in a linear-in-the-parameters expansion of possi-
ble terms, where each subset of terms could form a sep-
arate model class. It does this by inducing a sparse pa-
rameter vector during updating. In this work, a modified
ARD approach is used during the updating to induce
sparseness in the change in the stiffness scaling param-
eters θ from the values appropriate for the original un-
damaged structure to the current potentially damaged
structure. This reduces the potential ill-conditioning to
provide more reliable identification results.
Our recently developed fast SBL algorithm and
partial GS SBL algorithm have been briefly reviewed in
the article. Based on a similar hierarchical SBL model,
we improved our SBL theory for system identification
and developed a full GS procedure to provide a full
characterization of the posterior uncertainty of all
unknown parameters and hyperparameters, which is
especially useful when the model class is not globally
identifiable because the Laplace approximations in the
earlier SBL algorithms are not accurate. An efficient
sampling strategy for the full GS SBL algorithm has
also been developed. The full and partial GS algorithms
differ in their strategies to deal with the posterior uncer-
tainty of the hyperparameters. The comparison study
of the effectiveness and robustness of the presented
algorithms was demonstrated through the analysis of
the IASC–ASCE Phase II experimental benchmark
problem to identify brace damage. The results suggest
that the full GS SBL algorithm is more reliable than the
other two SBL algorithms when using real experimental
data where there is significant modeling error. This
superior performance is attributed to its more robust
promotion of model sparseness and more accurate
posterior uncertainty quantification for the stiffness
parameters and system modal parameters.
ACKNOWLEDGMENTS
Yong Huang was supported by the George W. Hous-
ner Earthquake Engineering Research fund at the Cal-
ifornia Institute of Technology and grants from the
National Natural Science Foundation of China (No.
51778192 and 51308161). This support is gratefully
acknowledged.
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