Related papers: A Hierarchical Bayes Ensemble Kalman Filter
Data assimilation is a method of uncertainty quantification to estimate the hidden true state by updating the prediction owing to model dynamics with observation data. As a prediction model, we consider a class of nonlinear dynamical…
Data assimilation (DA) for compressible flows with shocks is challenging because many classical DA methods generate spurious oscillations and nonphysical features near uncertain shocks. We focus here on the ensemble Kalman filter (EnKF). We…
The intersection between classical data assimilation methods and novel machine learning techniques has attracted significant interest in recent years. Here we explore another promising solution in which diffusion models are used to…
Counterfactual explanations utilize feature perturbations to analyze the outcome of an original decision and recommend an actionable recourse. We argue that it is beneficial to provide several alternative explanations rather than a single…
Extended Kalman Filtering (EKF) can be used to propagate and quantify input uncertainty through a Deep Neural Network (DNN) assuming mild hypotheses on the input distribution. This methodology yields results comparable to existing methods…
The increased availability of observation data from engineering systems in operation poses the question of how to incorporate this data into finite element models. To this end, we propose a novel statistical construction of the finite…
Hidden Markov Models (HMMs) are fundamental for modeling sequential data, yet learning their parameters from observations remains challenging. Classical methods like the Baum-Welch algorithm are computationally intensive and prone to local…
We use statistical learning methods to construct an adaptive state estimator for nonlinear stochastic systems. Optimal state estimation, in the form of a Kalman filter, requires knowledge of the system's process and measurement uncertainty.…
This paper investigates the distributed Kalman filter (DKF) for linear systems, with specific attention on measurement fusion, which is a typical way of information sharing and is vital for enhancing stability and improving estimation…
We consider the problem of estimating the means $\mu_i$ of $n$ random variables $Y_i \sim N(\mu_i,1)$, $i=1,\ldots ,n$. Assuming some structure on the $\mu$ process, e.g., a state space model, one may use a summary statistics for the…
State estimation in the presence of uncertain or data-driven noise distributions remains a critical challenge in control and robotics. Although the Kalman filter is the most popular choice, its performance degrades significantly when…
We present the Bayesian consensus filter (BCF) for tracking a moving target using a networked group of sensing agents and achieving consensus on the best estimate of the probability distributions of the target's states. Our BCF framework…
We study the convergence rates of empirical Bayes posterior distributions for nonparametric and high-dimensional inference. We show that as long as the hyperparameter set is discrete, the empirical Bayes posterior distribution induced by…
We derive ensembles of decision trees through a nonparametric Bayesian model, allowing us to view random forests as samples from a posterior distribution. This insight provides large gains in interpretability, and motivates a class of…
Kalman filters provide a straightforward and interpretable means to estimate hidden or latent variables, and have found numerous applications in control, robotics, signal processing, and machine learning. One such application is neural…
Parameter estimation has a high importance in the geosciences. The ensemble Kalman filter (EnKF) allows parameter estimation for large, time-dependent systems. For large systems, the EnKF is applied using small ensembles, which may lead to…
The Bayesian approach to inverse problems is widely used in practice to infer unknown parameters from noisy observations. In this framework, the ensemble Kalman inversion has been successfully applied for the quantification of uncertainties…
This paper presents a novel Wasserstein distributionally robust control and state estimation algorithm for partially observable linear stochastic systems, where the probability distributions of disturbances and measurement noises are…
Data assimilation algorithms integrate prior information from numerical model simulations with observed data. Ensemble-based filters, regarded as state-of-the-art, are widely employed for large-scale estimation tasks in disciplines such as…
We propose a filter for piecewise affine state-space (PWASS) models. In each filtering recursion, the true filtering posterior distribution is a mixture of truncated normal distributions. The proposed filter approximates the mixture with a…