Related papers: A mollified Ensemble Kalman filter
We consider the Ensemble Kalman Inversion which has been recently introduced as an efficient, gradient-free optimisation method to estimate unknown parameters in an inverse setting. In the case of large data sets, the Ensemble Kalman…
The Kalman filter (KF) is one of the most widely used tools for data assimilation and sequential estimation. In this work, we show that the state estimates from the KF in a standard linear dynamical system setting are equivalent to those…
Efficiently solving the continuous-time signal and discrete-time observation filtering problem for chaotic dynamical systems presents unique challenges in that the advected distribution between observations may encounter a separatrix…
A novel method, based on the combination of data assimilation and machine learning is introduced. The new hybrid approach is designed for a two-fold scope: (i) emulating hidden, possibly chaotic, dynamics and (ii) predicting their future…
We present the collaborative Kalman filter (CKF), a dynamic model for collaborative filtering and related factorization models. Using the matrix factorization approach to collaborative filtering, the CKF accounts for time evolution by…
Accurate data assimilation (DA) for systems with piecewise-smooth or discontinuous state variables remains a significant challenge, as conventional covariance-based ensemble Kalman filter approaches often fail to effectively balance…
Ensemble modeling has been widely used to solve complex problems as it helps to improve overall performance and generalization. In this paper, we propose a novel TemporalAugmenter approach based on ensemble modeling for augmenting the…
This work describes a family of attitude estimators that are based on a generalization of Mahony's nonlinear complementary filter. This generalization reveals the close mathematical relationship between the nonlinear complementary filter…
Prediction error and maximum likelihood methods are powerful tools for identifying linear dynamical systems and, in particular, enable the joint estimation of model parameters and the Kalman filter used for state estimation. A key…
This paper focuses on the state estimation problem in distributed sensor networks, where intermittent packet dropouts, corrupted observations, and unknown noise covariances coexist. To tackle this challenge, we formulate the joint…
This paper proposes two practical implementations of Four-Dimensional Variational (4D-Var) Ensemble Kalman Filter (4D-EnKF) methods for non-linear data assimilation. Our formulations' main idea is to avoid the intrinsic need for adjoint…
Ensemble transform Kalman filtering (ETKF) data assimilation is often used to combine available observations with numerical simulations to obtain statistically accurate and reliable state representations in dynamical systems. However, it is…
This survey paper is written with the intention of giving a mathematical introduction to filtering techniques for intermittent data assimilation, and to survey some recent advances in the field. The paper is divided into three parts. The…
We describe the characterization and removal of noise present in the Inertial Measurement Unit (IMU) MPU-6050. This IMU was initially used in an attitude sensor (AS) developed in-house, and subsequently implemented in a pointing and…
Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman…
In this article, the state estimation problems with unknown process noise and measurement noise covariances for both linear and nonlinear systems are considered. By formulating the joint estimation of system state and noise parameters into…
This paper investigates the distributed Kalman filter (DKF) for linear systems, with specific attention on measurement fusion, which is a typical way of information sharing and is vital for enhancing stability and improving estimation…
We examine the problem of time delay estimation, or temporal calibration, in the context of multisensor data fusion. Differences in processing intervals and other factors typically lead to a relative delay between measurement updates from…
Human motion analysis is used in many different fields and applications. Currently, existing systems either focus on one single limb or one single class of movements. Many proposed systems are designed to be used in an indoor controlled…
In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…