Related papers: Reply to "Comment on 'Ensemble Kalman filter with …

A modification scheme to the ensemble Kalman filter (EnKF) is introduced based on the concept of the unscented transform (Julier et al., 2000; Julier and Uhlmann, 2004), which therefore will be called the ensemble unscented Kalman filter…

The present paper introduces a novel methodology for Unscented Kalman Filtering (UKF) on manifolds that extends previous work by the authors on UKF on Lie groups. Beyond filtering performance, the main interests of the approach are its…

Filters, especially wide range of Kalman Filters have shown their impacts on predicting variables of stochastic models with higher accuracy then traditional statistic methods. Updating mean and covariance each time makes Bayesian inferences…

Unscented Kalman Filters (UKFs) have become popular in the research community. Most UKFs work only with Euclidean systems, but in many scenarios it is advantageous to consider systems with state-variables taking values on Riemannian…

In this work we consider the state estimation problem in nonlinear/non-Gaussian systems. We introduce a framework, called the scaled unscented transform Gaussian sum filter (SUT-GSF), which combines two ideas: the scaled unscented Kalman…

The present document aims at providing a short, didactical introduction to three standard versions of the Kalman filter, namely its variants identified as Basic, Extended, and Unscented. The application of these algorithms in three…

Reply to a comment by T. Rakovszky, F. Pollmann, and C. W von Keyserlingk [arXiv:2010.07969].

Here we give our reply to the comment by Sibirtsev et al on our paper ``Mass and K-Lambda Coupling of the N*(1535)".

This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF), thereby yielding a multilevel ensemble Kalman filter (MLEnKF) which has provably superior asymptotic cost to…

Reply to the Comment by S.V. Kravchenko, A.A. Shashkin, and V.T. Dolgopolov [cond-mat/0106056]

The Unscented Transform which is the basis of the Unscented Kalman Filter, UKF, is used here to develop a novel predictive controller for non-linear plants, called the Unscented Transform Controller, UTC. The UTC can be seen as the dual of…

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…

State estimation when only a partial model of a considered system is available remains a major challenge in many engineering fields. This work proposes a joint, square-root unscented Kalman filter to estimate states and model uncertainties…

For an improper complex signal x, its complementary covariance ExxT is not zero and thus it carries useful statistical information about x. Widely linear processing exploits Hermitian and complementary covariance to improve performance. In…

We reply to comment on recent paper by Pieplow and Henkel (New J. Phys. 15 (2013) 023027) and our results made by Volokitin and Persson (arXiv: 1405.2525)

This paper uses a probabilistic approach to analyze the converge of an ensemble Kalman filter solution to an exact Kalman filter solution in the simplest possible setting, the scalar case, as it allows us to build upon a rich literature of…

In this paper, we revisit the Kalman filter theory. After giving the intuition on a simplified financial markets example, we revisit the maths underlying it. We then show that Kalman filter can be presented in a very different fashion using…

The most accurate version of the unscented Kalman filter (UKF) involves the construction of two ensembles. To reduce computational cost, however, UKF is often implemented without the second ensemble. This simplification comes at a price,…

Although the unscented Kalman filter (UKF) is applicable to nonlinear systems, it turns out that, for linear systems, UKF does not specialize to the classical Kalman filter. This situation suggests that it may be advantageous to modify UKF…

This paper proposes a simple, accurate and computationally efficient method to apply the ordinary unscented Kalman filter developed in Euclidean space to systems whose dynamics evolve on manifolds.We use the mathematical theory called…