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Multi-modal densities appear frequently in time series and practical applications. However, they cannot be represented by common state estimators, such as the Extended Kalman Filter (EKF) and the Unscented Kalman Filter (UKF), which…
The ensemble Kalman filter (EnKF) is a popular technique for performing inference in state-space models (SSMs), particularly when the dynamic process is high-dimensional. Unlike reweighting methods such as sequential Monte Carlo (SMC, i.e.…
This paper is the second of a two-part series that discusses the implementation issues and test results of a robust Unscented Kalman Filter (UKF) for power system dynamic state estimation with non-Gaussian synchrophasor measurement noise.…
We investigate several quantifiers of the electroencephalogram (EEG) signal with respect to their ability to indicate depth of anesthesia. For 17 patients anesthetized with Sevoflurane, three established measures (two spectral and one based…
Detailed dynamical systems' models used in the life sciences may include hundreds of state variables and many input parameters, often with physical meaning. Therefore, efficient and unique input parameter identification, from experimental…
Kalman Filter (KF) is an optimal linear state prediction algorithm, with applications in fields as diverse as engineering, economics, robotics, and space exploration. Here, we develop an extension of the KF, called a Pathspace Kalman Filter…
Unlike in a clinical trial, where researchers get to determine the least number of positive and negative samples required, or in a machine learning study where the size and the class distribution of the validation set is static and known,…
We study the Continuous-Discrete Kalman Filter (CD-KF) for State-Space Models (SSMs) where continuous-time dynamics are observed via multiple sensors with discrete, irregularly timed measurements. Our focus extends to scenarios in which the…
Kalman filters and observers are two main classes of dynamic state estimation (DSE) routines. Power system DSE has been implemented by various Kalman filters, such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF).…
We consider state and parameter estimation for a dynamical system having both time-varying and time-invariant parameters. It has been shown that the robustness of the Markov Chain Monte Carlo (MCMC) algorithm for estimating time-invariant…
In real-world applications the Perspective-n-Point (PnP) problem should generally be applied in a sequence of images which a set of drift-prone features are tracked over time. In this paper, we consider both the temporal dependency of…
Extended Kalman Filter (EKF) has been a popular approach to localization a mobile robot. However, the performance of the EKF and the quality of the estimation depends on the correct a priori knowledge of process and measurement noise…
The ensemble Kalman filter (EnKF) is a widely used methodology for state estimation in partial, noisily observed dynamical systems, and for parameter estimation in inverse problems. Despite its widespread use in the geophysical sciences,…
This paper presents a sensing management frame- work for integrated sensing and communications (ISAC) within cell-free massive multiple-input multiple-output (MIMO) systems to reduce pilot-based channel state information (CSI) acquisition…
In this study, we address the challenges associated with accurately determining gaze location on a screen, which is often compromised by noise from factors such as eye tracker limitations, calibration drift, ambient lighting changes, and…
Ultra-wideband (UWB) indoor localization provides centimeter-level accuracy and low latency, but its measurement reliability degrades severely under Non-Line-of-Sight (NLOS) conditions, leading to meter-scale ranging errors and inconsistent…
The real-world applications in signal processing generally involve estimating the system state or parameters in nonlinear, non-Gaussian dynamic systems. The estimation problem may get even more challenging when there are physical…
EEG Source localization is a critical tool in neuroscience, with applications ranging from epilepsy diagnosis to cognitive research. It involves solving an ill-posed inverse problem that lacks a unique solution unless constrained by prior…
The Kalman Filter (KF) is a powerful mathematical tool widely used for state estimation in various domains, including Simultaneous Localization and Mapping (SLAM). This paper presents an in-depth introduction to the Kalman Filter and…
This paper deals with the implementation of the extended robust Kalman filter (ERKF) which was developed considering uncertainties in the parameter matrices of the underlying state-space model. A key contribution of this work is the…