Related papers: On the convergence of a Risk Sensitive like Filter

A classical method for risk-sensitive nonlinear control is the iterative linear exponential quadratic Gaussian algorithm. We present its convergence analysis from a first-order optimization viewpoint. We identify the objective that the…

In the paper adapting Krein Rutman theory we show the existence of solutions to the long run risk sensitive control problem for controlled discrete time Markov processes over locally compact separable metric spaces.

In this paper, we explain the convergence speed of different iteration schemes with the fluid diffusion view when solving a linear fixed point problem. This interpretation allows one to better understand why power iteration or Jacobi…

This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…

Directional estimation is a common problem in many tracking applications. Traditional filters such as the Kalman filter perform poorly because they fail to take the periodic nature of the problem into account. We present a recursive filter…

We propose and test an iterative technique for improving the temporal focusing of a time reversal mirror. A single amplification parameter is introduced to tune the convergence of the iteration. The tunable iterative technique is validated…

This paper proposes control approaches for discrete-time linear systems subject to stochastic disturbances. It employs Kalman filter to estimate the mean and covariance of the state propagation, and the worst-case conditional value-at-risk…

Click-through rate (CTR) prediction is one of the fundamental tasks for e-commerce search engines. As search becomes more personalized, it is necessary to capture the user interest from rich behavior data. Existing user behavior modeling…

In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…

This paper considers the output prediction problem for an unknown Linear Time-Invariant (LTI) system. In particular, we focus our attention on the OBF-ARX filter, whose transfer function is a linear combination of Orthogonal Basis Functions…

In this paper we prove a rate of convergence for the continuous time filtering solution of a multiple timescale correlated nonlinear system to a lower dimensional filtering equation in the limit of large timescale separation. Correlation is…

This paper investigates the convergence of the randomized Kaczmarz algorithm for the problem of phase retrieval of complex-valued objects. While this algorithm has been studied for the real-valued case}, its generalization to the…

This paper presents an adaptive Kalman filter for a linear dynamic system perturbed by an additive disturbance. The objective is to estimate both of the state and the unknown disturbance concurrently, while learning the disturbance as a…

Both constrained and unconstrained optimization problems regularly appear in recursive tracking problems engineers currently address -- however, constraints are rarely exploited for these applications. We define the Kalman Filter and…

Reinforcement learning (RL) tackles sequential decision-making problems by creating agents that interacts with their environment. However, existing algorithms often view these problem as static, focusing on point estimates for model…

Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important example is the mixture Kalman filter, but…

The aim of this paper is to propose a new numerical approximation of the Kalman-Bucy filter for semi-Markov jump linear systems. This approximation is based on the selection of typical trajectories of the driving semi-Markov chain of the…

The paper proposes a new recursive filter for non-linear systems that inherently computes a valid bound on the mean square estimation error. The proposed filter, bound based extended Kalman, (BEKF) is in the form of an extended Kalman…

Linear regression is effective at identifying interpretable trends in a data set, but averages out potentially different effects on subgroups within data. We propose an iterative algorithm based on the randomized Kaczmarz (RK) method to…

In this paper, we establish results fully addressing two open problems proposed recently by I. Ivanov, see Nonlinear Analysis 69 (2008) 4012--4024, with respect to the convergence of the accelerated Riccati iteration method for solving the…