Related papers: Periodic Chandrasekhar recursions

Large-scale dynamic inverse problems are often ill-posed due to model complexity and the high dimensionality of the unknown parameters. Regularization is commonly employed to mitigate ill-posedness by incorporating prior information and…

This paper addresses the mathematical modeling and compensation of stochastic discrete-time clock jitter in analog-to-digital converters (ADCs). We model the stochastic clock jitter as a first-order autoregressive (AR(1)) process, and we…

This article is concerned with the convergence of the state estimate obtained from the discrete time Kalman filter to the continuous time estimate as the temporal discretization is refined. We derive convergence rate estimates for different…

Multi-scale problems, where variables of interest evolve in different time-scales and live in different state-spaces, can be found in many fields of science. Here, we introduce a new recursive methodology for Bayesian inference that aims at…

This paper presents a regularized recursive identification algorithm with simultaneous on-line estimation of both the model parameters and the algorithms hyperparameters. A new kernel is proposed to facilitate the algorithm development. The…

In this paper, approximate Linear Minimum Variance (LMV) filters for continuous-discrete state space models are introduced. The filters are obtained by means of a recursive approximation to the predictions for the first two moments of the…

A Poisson autoregressive (PAR) model accounting for discreteness and autocorrelation of count time series data is typically estimated in the state-space modelling framework through extended Kalman filter. However, because of the complex…

We study the use of Temporal-Difference learning for estimating the structural parameters in dynamic discrete choice models. Our algorithms are based on the conditional choice probability approach but use functional approximations to…

In this paper, we propose a StochAstic Recursive grAdient algoritHm (SARAH), as well as its practical variant SARAH+, as a novel approach to the finite-sum minimization problems. Different from the vanilla SGD and other modern stochastic…

This paper studies the stability of covariance-intersection (CI)-based distributed Kalman filtering in time-varying systems. For the general time-varying case, a relationship between the error covariance and the observability Gramian is…

This paper presents an LMI-based design framework for multirate steady-state Kalman filters in systems with sensors operating at different sampling rates. The multirate system is formulated as a periodic time-varying system, where the…

We present a stochastic predictive controller for discrete time linear time invariant systems under incomplete state information. Our approach is based on a suitable choice of control policies, stability constraints, and employment of a…

The Randomized Kaczmarz method (RK) is a stochastic iterative method for solving linear systems that has recently grown in popularity due to its speed and low memory requirement. Selectable Set Randomized Kaczmarz (SSRK) is an variant of RK…

The paper proposes a new recursive filter for non-linear systems that inherently computes a valid bound on the mean square estimation error. The proposed filter, bound based extended Kalman, (BEKF) is in the form of an extended Kalman…

This paper proposes a novel LiDAR-Inertial odometry (LIO), named SR-LIO, based on an iterated extended Kalman filter (iEKF) framework. We adapt the sweep reconstruction method, which segments and reconstructs raw input sweeps from spinning…

This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…

In this paper, we investigate the problem of scheduling parallel Kalman filters for multiple processes, where each process is observed by a Kalman filter and at each time step only one Kalman filter could obtain observation due to practical…

We extend the piecewise orthogonal collocation method to computing periodic solutions of coupled renewal and delay differential equations. Through a rigorous error analysis, we prove convergence of the relevant finite-element method and…

A set of N independent Gaussian linear time invariant systems is observed by M sensors whose task is to provide the best possible steady-state causal minimum mean square estimate of the state of the systems, in addition to minimizing a…

This paper extends recursive least squares (RLS) to include time-varying regularization. This extension provides flexibility for updating the least squares regularization term in real time. Existing results with constant regularization…