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This paper develops the theoretical framework and the equations of a new robust Generalized Maximum-likelihood-type Unscented Kalman Filter (GM-UKF) that is able to suppress observation and innovation outliers while filtering out…
The filtering distribution in hidden Markov models evolves according to the law of a mean-field model in state-observation space. The ensemble Kalman filter (EnKF) approximates this mean-field model with an ensemble of interacting…
For robots to operate robustly in the real world, they should be aware of their uncertainty. However, most methods for object pose estimation return a single point estimate of the object's pose. In this work, we propose two learned methods…
This work presents distributed algorithms for estimation of time-varying random fields over multi-agent/sensor networks. A network of sensors makes sparse and noisy local measurements of the dynamic field. Each sensor aims to obtain…
We revisit the classical problem of estimating an unknown distribution from its samples by fitting a mixture model that minimizes cross-entropy loss. Framing the task as a stochastic convex optimization problem over the space of $ M…
The majority of data assimilation (DA) methods in the geosciences are based on Gaussian assumptions. While these assumptions facilitate efficient algorithms, they cause analysis biases and subsequent forecast degradations. Non-parametric,…
This paper proposes a novel geometric nonlinear filter for attitude and bias estimation on the Special Orthogonal Group $SO(3)$ using matrix measurements. The structure of the proposed filter is similar to that of the continuous-time…
Nonlinear/non-Gaussian filtering has broad applications in many areas of life sciences where either the dynamic is nonlinear and/or the probability density function of uncertain state is non-Gaussian. In such problems, the accuracy of the…
In this paper, a new probability distribution, referred to as the matrix Fisher-Gaussian (MFG) distribution, is proposed on the nonlinear manifold $\mathrm{SO}(3)\times\mathbb{R}^n$. It is constructed by conditioning a (9+n)-variate…
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,…
Typical iterated filters, such as the iterated extended Kalman filter (IEKF), iterated unscented Kalman filter (IUKF), and iterated posterior linearization filter (IPLF), have been developed to improve the linearization point (or density)…
Despite the remarkable progress in generative modelling, current diffusion models lack a quantitative approach to assess image quality. To address this limitation, we propose to estimate the pixel-wise aleatoric uncertainty during the…
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…
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…
Object pose estimation is a fundamental problem in robotics and computer vision, yet it remains challenging due to partial observability, occlusions, and object symmetries, which inevitably lead to pose ambiguity and multiple hypotheses…
The problem of estimating the dynamic direction of arrival of far field signals impinging on a uniform linear array, with mutual coupling effects, is addressed. This work proposes two novel approaches able to provide accurate solutions,…
Data assimilation combines information from models, measurements, and priors to estimate the state of a dynamical system such as the atmosphere. The Ensemble Kalman filter (EnKF) is a family of ensemble-based data assimilation approaches…
We formulate the discrete-time inverse optimal control problem of inferring unknown parameters in the objective function of an optimal control problem from measurements of optimal states and controls as a nonlinear filtering problem. This…
Biomolecular systems are often modeled with partially known nonlinear stochastic dynamics, making state and parameter estimation a central challenge. While Kalman filtering techniques are widely used in this setting, their performance…
This technical note addresses the UD factorization based Kalman filtering (KF) algorithms. Using this important class of numerically stable KF schemes, we extend its functionality and develop an elegant and simple method for computation of…