Related papers: An autoregressive (AR) model based stochastic unkn…
We propose a new robust filtering paradigm considering the situation in which model uncertainty, described through an ambiguity set, is present only in the observations. We derive the corresponding robust estimator, referred to as…
For many nonlinear Bayesian state estimation problems, the posterior recursion is not analytically tractable, leading to algorithms that are influenced by numerical approximation errors. These algorithms depend on parameters that affect the…
We consider the problem of state estimation in dynamical systems and propose a different mechanism for handling unmodeled system uncertainties. Instead of injecting random process noise, we assign different weights to measurements so that…
This work develops a learning-based contact estimator for legged robots that bypasses the need for physical sensors and takes multi-modal proprioceptive sensory data as input. Unlike vision-based state estimators, proprioceptive state…
State statistics of linear systems satisfy certain structural constraints that arise from the underlying dynamics and the directionality of input disturbances. In the present paper we study the problem of completing partially known state…
In this paper, we consider the problem of predicting observations generated online by an unknown, partially observed linear system, which is driven by stochastic noise. For such systems the optimal predictor in the mean square sense is the…
Real-world multi-agent reinforcement learning (MARL) systems must often operate under stale observations, stochastic communication delays, and intermittent packet loss. Policies trained under idealized synchronous conditions frequently…
Kalman and H-infinity filters, the most popular paradigms for linear state estimation, are designed for very specific specific noise and disturbance patterns, which may not appear in practice. State observers based on the minimization of…
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…
We propose a new recursive estimator for linear dynamical systems under Gaussian process noise and non-Gaussian measurement noise. Specifically, we develop an approximate maximum a posteriori (MAP) estimator using dynamic programming and…
This paper deals with the problem of state estimation for a class of linear time-invariant systems with quadratic output measurements. An immersion-type approach is presented that transforms the system into a state-affine system by adding a…
The Kalman filter is the most powerful tool for estimation of the states of a linear Gaussian system. In addition, using this method, an expectation maximization algorithm can be used to estimate the parameters of the model. However, this…
This paper introduces a novel approach to system identification for nonlinear input-output models that minimizes the simulation error and frames the problem as a constrained optimization task. The proposed method addresses vanishing…
Simultaneous Input and State Estimation (SISE) enables the reconstruction of unknown inputs and internal states in dynamical systems, with applications in fault detection, robotics, and control. While various methods exist for linear…
In this paper we study the compressed sensing problem of recovering a sparse signal from a system of underdetermined linear equations when we have prior information about the probability of each entry of the unknown signal being nonzero. In…
We consider the problem of online prediction for an unknown, non-explosive linear stochastic system. With a known system model, the optimal predictor is the celebrated Kalman filter. In the case of unknown systems, existing approaches based…
We present an efficient and practical (polynomial time) algorithm for online prediction in unknown and partially observed linear dynamical systems (LDS) under stochastic noise. When the system parameters are known, the optimal linear…
In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…
In this paper, we present a novel optimization algorithm designed specifically for estimating state-space models to deal with heavy-tailed measurement noise and constraints. Our algorithm addresses two significant limitations found in…
The optimal control input for linear systems can be solved from algebraic Riccati equation (ARE), from which it remains questionable to get the form of the exact solution. In engineering, the acceptable numerical solutions of ARE can be…