Related papers: State estimation under non-Gaussian Levy noise: A …
A distributed adaptive algorithm for estimation of sparse unknown parameters in the presence of nonGaussian noise is proposed in this paper based on normalized least mean fourth (NLMF) criterion. At the first step, local adaptive NLMF…
The employ of a noiseless linear amplifier (NLA) has been proven as a useful tool for mitigating imperfections in quantum channels. Its analysis is usually conducted within specific frameworks, for which the set of input states for a given…
State estimation is critical to control systems, especially when the states cannot be directly measured. This paper presents an approximate optimal filter, which enables to use policy iteration technique to obtain the steady-state gain in…
Many robotic sensor estimation problems can characterized in terms of nonlinear measurement systems. These systems are contaminated with noise and may be underdetermined from a single observation. In order to get reliable estimation…
This paper is on learning the Kalman gain by policy optimization method. Firstly, we reformulate the finite-horizon Kalman filter as a policy optimization problem of the dual system. Secondly, we obtain the global linear convergence of…
The extended Kalman filter is perhaps the most standard tool to estimate in real time the state of a dynamical system from noisy measurements of some function of the system, with extensive practical applications (such as position tracking…
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…
Data assimilation combines dynamical models with observations to improve state estimates. Ensemble filters sequentially assimilate observations by updating a set of samples over time, alternating between a forecast and an analysis step.…
The unscented Kalman filter is an algorithm capable of handling nonlinear scenarios. Uncertainty in process noise covariance may decrease the filter estimation performance or even lead to its divergence. Therefore, it is important to adjust…
State estimation of a dynamical system refers to estimating the state of a system given an imperfect model, noisy measurements and some or no information about the initial state. While Kalman filtering is optimal for estimation of linear…
A recursive state estimation procedure is derived for a linear time varying system with both parametric uncertainties and stochastic measurement droppings. This estimator has a similar form as that of the Kalman filter with intermittent…
In many physical applications, the system's state varies with spatial variables as well as time. The state of such systems is modelled by partial differential equations and evolves on an infinite-dimensional space. Systems modelled by…
This paper deals with the state estimation of non-linear and non-Gaussian systems with an emphasis on the numerical solution to the Bayesian recursive relations. In particular, this paper builds upon the Lagrangian grid-based filter (GbF)…
A Kalman filter can be used to determine material parameters using uncertain experimental data. However, starting with inappropriate initial values for material parameters might include false local attractors or even divergence. Also,…
In this paper, we present an optimal filter for linear time-varying continuous-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense. We first show that the unknown inputs…
Nonlinear Kalman Filters are powerful and widely-used techniques when trying to estimate the hidden state of a stochastic nonlinear dynamic system. In this paper, we extend the Smart Sampling Kalman Filter (S2KF) with a new point symmetric…
Popular Bayes filters typically rely on linearization techniques such as Taylor series expansion and stochastic linear regression to use the structure of standard Kalman filter. These techniques may introduce large estimation errors in…
The purpose of this review is to present a comprehensive overview of the theory of ensemble Kalman-Bucy filtering for continuous-time, linear-Gaussian signal and observation models. We present a system of equations that describe the flow of…
Conventional Bayesian estimation requires an accurate stochastic model of a system. However, this requirement is not always met in many practical cases where the system is not completely known or may differ from the assumed model. For such…
This paper proposes a novel and efficient key conditional quotient filter (KCQF) for the estimation of state in the nonlinear system which can be either Gaussian or non-Gaussian, and either Markovian or non-Markovian. The core idea of the…