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The Kalman filter (KF) provides optimal recursive state estimates for linear-Gaussian systems and underpins applications in control, signal processing, and others. However, it is vulnerable to outliers in the measurements and process noise.…

Motivated by the need for accurate frequency information, a novel algorithm for estimating the fundamental frequency and its rate of change in three-phase power systems is developed. This is achieved through two stages of Kalman filtering.…

Kalman filter is widely used for residual generation in fault detection. It leads to optimality in fault detection using some performance indices and also leads to statistically sound residual evaluation and threshold setting. This paper…

We present an advanced thermal response model for micro- and nanomechanical systems in photothermal sensing, designed to balance speed and precision. Our model considers the two time constants of the nanomechanical element and the…

The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of…

We introduce a novel nonlinear Kalman filter that utilizes reparametrization gradients. The widely used parametric approximation is based on a jointly Gaussian assumption of the state-space model, which is in turn equivalent to minimizing…

Have you ever felt miserable because of a sudden whipsaw in the price that triggered an unfortunate trade? In an attempt to remove this noise, technical analysts have used various types of moving averages (simple, exponential, adaptive one…

Systems equipped with modern sensing modalities such as vision and lidar gain access to increasingly high-dimensional measurements with which to enact estimation and control schemes. In this article, we examine the continuum limit of…

The estimation of non-Gaussian measurement noise models is a significant challenge across various fields. In practical applications, it often faces challenges due to the large number of parameters and high computational complexity. This…

Kalman filtering has been traditionally applied in three application areas of estimation, state estimation, parameter estimation (a.k.a. model updating), and dual estimation. However, Kalman filter is often not sufficient when experimenting…

A new type of ensemble Kalman filter is developed, which is based on replacing the sample covariance in the analysis step by its diagonal in a spectral basis. It is proved that this technique improves the aproximation of the covariance when…

In the context of track fitting problems by a Kalman filter, the appropriate functional forms of the elements of the random process noise matrix are derived for tracking through thick layers of dense materials and magnetic field. This work…

Many interventional surgical procedures rely on medical imaging to visualise and track instruments. Such imaging methods not only need to be real-time capable, but also provide accurate and robust positional information. In ultrasound…

Filtering is concerned with online estimation of the state of a dynamical system from partial and noisy observations. In applications where the state of the system is high dimensional, ensemble Kalman filters are often the method of choice.…

Here we revisit the classic problem of linear quadratic estimation, i.e. estimating the trajectory of a linear dynamical system from noisy measurements. The celebrated Kalman filter gives an optimal estimator when the measurement noise is…

This paper presents a new filter for state-space models based on Bellman's dynamic-programming principle, allowing for nonlinearity, non-Gaussianity and degeneracy in the observation and/or state-transition equations. The resulting Bellman…

This paper presents the design and implementation of the Scintillation Filter by Kalman-colored algorithm (SciFi), which is used to remove tropospheric scintillation from Q/V bands total attenuation data series. In contrast to the classical…

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…

Disturbance observers have been attracting continuing research efforts and are widely used in many applications. Among them, the Kalman filter-based disturbance observer is an attractive one since it estimates both the state and the…

In this paper we will discuss the application of optimal filtering techniques for the adaptive optics system of the LBT telescope. We have studied the application of both Kalman and H$_\infty$ filters to estimate the temporal evolution of…