Related papers: A finite dimensional filter with exponential condi…
Data assimilation methodologies are designed to incorporate noisy observations of a physical system into an underlying model in order to infer the properties of the state of the system. Filters refer to a class of data assimilation…
This expository essay discusses a finite dimensional approach to dilation theory. How much of dilation theory can be worked out within the realm of linear algebra? It turns out that some interesting and simple results can be obtained. These…
The purpose of this paper is to explore the use of deep learning for the solution of the nonlinear filtering problem. This is achieved by solving the Zakai equation by a deep splitting method, previously developed for approximate solution…
The continuous-discrete filtering problem requires the solution of a partial differential equation known as the Fokker-Planck-Kolmogorov forward equation (FPKfe). In this paper, the path integral formula for the fundamental solution of the…
Wave propagation problems have many applications in physics and engineering, and the stochastic effects are important in accurately modeling them due to the uncertainty of the media. This paper considers and analyzes a fully discrete finite…
We consider the problem of optimal control for partially observed dynamical systems. Despite its prevalence in practical applications, there are still very few algorithms available, which take uncertainties in the current state estimates…
We consider an implicit finite difference scheme on uniform grids in time and space for the Cauchy problem for a second order parabolic stochastic partial differential equation where the parabolicity condition is allowed to degenerate. Such…
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…
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…
Smoothing causal linear time-invariant filters are studied for continuous time processes. The paper suggests a family of causal filters with almost exponential damping of the energy on the higher frequencies. These filters are sub-ideal…
Ensemble filters implement sequential Bayesian estimation by representing the probability distribution by an ensemble mean and covariance. Unbiased square root ensemble filters use deterministic algorithms to produce an analysis (posterior)…
The problem of nonlinear filtering has engendered a surprising number of mathematical techniques for its treatment. A notable example is the change-of--probability-measure method originally introduced by Kallianpur and Striebel to derive…
We present a class of one-dimensional systems of nonlinear parabolic equations for which long-time phase dynamics can be described by an ODE with a Lipschitz vector field in R^n. In the considered case of the Dirichlet boundary value…
We establish the effective {\em finite dimensionality} of the dynamics corresponding to a flow-plate interaction PDE model arising in aeroelasticity: a nonlinear panel, in the absence of rotational inertia, immersed in an inviscid potential…
Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in many cases. However, this filters only…
Common filters are usually based on the linear approximation of the optimal minimum mean square error estimator. The Extended and Unscented Kalman Filters handle nonlinearity through linearization and unscented transformation, respectively,…
Many physical systems are formulated on domains which are relatively large in some directions but relatively thin in other directions. We expect such systems to have emergent structures that vary slowly over the large dimensions. Common…
The properties of nonlinear PDEs that generate filtered solutions are explored with particular attention given to the constraints on the residual term. The analysis is carried out for nonlinear PDEs with an emphasis on evolution problems…
We analyze a phase-field system where the energy balance equation is linearly coupled with a nonlinear and nonlocal ODE for the order parameter $\chi$. The latter equation is characterized by a space convolution term which models particle…
This work is concerned with robust filtering of nonlinear sampled-data systems with and without exact discrete-time models. A linear matrix inequality (LMI) based approach is proposed for the design of robust $H_{\infty}$ observers for a…