Related papers: Ensemble Kalman filtering with residual nudging: a…

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…

Variational inference (VI) combined with Bayesian nonlinear filtering produces state-of-the-art results for latent time-series modeling. A body of recent work has focused on sequential Monte Carlo (SMC) and its variants, e.g., forward…

Counter-adversarial system design problems have lately motivated the development of inverse Bayesian filters. For example, inverse Kalman filter (I-KF) has been recently formulated to estimate the adversary's Kalman-filter-tracked estimates…

The widely-used Extended Kalman Filter (EKF) provides a straightforward recipe to estimate the mean and covariance of the state given all past measurements in a causal and recursive fashion. For a wide variety of applications, the EKF is…

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…

This paper introduces a computational framework to reconstruct and forecast a partially observed state that evolves according to an unknown or expensive-to-simulate dynamical system. Our reduced-order autodifferentiable ensemble Kalman…

State estimation of dynamical systems from noisy observations is a fundamental task in many applications. It is commonly addressed using the linear Kalman filter (KF), whose performance can significantly degrade in the presence of outliers…

This paper considers the problem of data-driven robust control design for nonlinear systems, for instance, obtained when discretizing nonlinear partial differential equations (PDEs). A robust learning control approach is developed for…

This paper presents the machine learning-based ensemble conditional mean filter (ML-EnCMF) -- a filtering method based on the conditional mean filter (CMF) previously introduced in the literature. The updated mean of the CMF matches that of…

A square root approach is considered for the problem of accounting for model noise in the forecast step of the ensemble Kalman filter (EnKF) and related algorithms. The primary aim is to replace the method of simulated, pseudo-random,…

Few real-world systems are amenable to truly Bayesian filtering; nonlinearities and non-Gaussian noises can wreak havoc on filters that rely on linearization and Gaussian uncertainty approximations. This article presents the Bayesian…

We introduce an auxiliary technique, called residual nudging, to the particle filter to enhance its performance in cases that it performs poorly. The main idea of residual nudging is to monitor, and if necessary, adjust the residual norm of…

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…

In this work, we present a new derivative-free optimization method and investigate its use for training neural networks. Our method is motivated by the Ensemble Kalman Filter (EnKF), which has been used successfully for solving optimization…

We introduce a new multilevel ensemble Kalman filter method (MLEnKF) which consists of a hierarchy of independent samples of ensemble Kalman filters (EnKF). This new MLEnKF method is fundamentally different from the preexisting method…

State estimation that combines observational data with mathematical models is central to many applications and is commonly addressed through filtering methods, such as ensemble Kalman filters. In this article, we examine the signal-tracking…

Over the years data assimilation methods have been developed to obtain estimations of uncertain model parameters by taking into account a few observations of a model state. The most reliable methods of MCMC are computationally expensive.…

Many data-science problems can be formulated as an inverse problem, where the parameters are estimated by minimizing a proper loss function. When complicated black-box models are involved, derivative-free optimization tools are often…

We present a new type of the EnKF for data assimilation in spatial models that uses diagonal approximation of the state covariance in the wavelet space to achieve adaptive localization. The efficiency of the new method is demonstrated on an…

This paper develops an efficient implementation of the ensemble Kalman filter based on a modified Cholesky decomposition for inverse covariance matrix estimation. This implementation is named EnKF-MC. Background errors corresponding to…