Related papers: Maximum Correntropy Kalman Filter
Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman…
In this paper, we propose a robust Kalman filtering framework for systems with probabilistic uncertainty in system parameters. We consider two cases, namely discrete time systems, and continuous time systems with discrete measurements. The…
Several variations of the Kalman filter algorithm, such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), are widely used in science and engineering applications. In this paper, we introduce two algorithms of…
In non-linear filtering, it is traditional to compare non-linear architectures such as neural networks to the standard linear Kalman Filter (KF). We observe that this mixes the evaluation of two separate components: the non-linear…
The ensemble Kalman filter (EnKF) is an efficient algorithm for many data assimilation problems. In certain circumstances, however, divergence of the EnKF might be spotted. In previous studies, the authors proposed an…
The paper presents a new Kalman filter (KF) implementation useful in applications where the accuracy of numerical solution of the associated Riccati equation might be crucially reduced by influence of roundoff errors. Since the appearance…
Recent research in nonlinear filtering and signal processing has suggested an efficient derivative-free Extended Kalman filter (EKF) designed for discrete-time stochastic systems. Such approach, however, has failed to address the estimation…
Recent studies have demonstrated that correntropy is an efficient tool for analyzing higher-order statistical moments in nonGaussian noise environments. Although correntropy has been used with complex data, no theoretical study was pursued…
It is known that the conventional estimators such as extended Kalman filter (EKF) and unscented Kalman filter (UKF) may provide favorable performance; However, they may not guarantee the robustness against model uncertainty and cyber…
Various methods have been proposed for the nonlinear filtering problem, including the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF), unscented Kalman filter (UKF) and iterated unscented Kalman filter (IUKF). In this…
This paper extends the ensemble Kalman filter (EnKF) for inverse problems to identify trending model coefficients. This is done by repeatedly inflating the ensemble while maintaining the mean of the particles. As a benchmark serves a…
Heavy tails is a common feature of filtering distributions that results from the nonlinear dynamical and observation processes as well as the uncertainty from physical sensors. In these settings, the Kalman filter and its ensemble version -…
Compared with linear time invariant systems, linear periodic system can describe the periodic processes arising from nature and engineering more precisely. However, the time-varying system parameters increase the difficulty of the research…
In this paper, we focus on developing an Invariant Extended Kalman Filter (IEKF) for extended pose estimation for a noisy system with state equality constraints. We treat those constraints as noise-free pseudo-measurements. To this aim, we…
The Extended Kalman Filter (EKF) is both the historical algorithm for multi-sensor fusion and still state of the art in numerous industrial applications. However, it may prove inconsistent in the presence of unobservability under a group of…
Signal Reconstruction is one of the most important problem in signal processing. This paper proposes a novel signal reconstruction method based on the prolate spherical wave functions (PSWFs) and maximum correntropy criterion (MCC). The…
Uncertain parameters of state-space models have always been a considerable problem. Consider Kalman filter (CKF) and desensitized Kalman filter (DKF) are two methods to solve this problem. Based on the sensitivity matrix respected to the…
We consider the problem of remotely stabilizing a dynamical system. A sensor (encoder) co-located with the system communicates with a controller (decoder), whose goal is to stabilize the system, over a noisy communication channel with…
Statistical signal processing based speech enhancement methods adopt expert knowledge to design the statistical models and linear filters, which is complementary to the deep neural network (DNN) based methods which are data-driven. In this…
Recent research in inverse cognition with cognitive radar has led to the development of inverse stochastic filters that are employed by the target to infer the information the cognitive radar may have learned. Prior works addressed this…