Related papers: Feedback Particle Filter on Matrix Lie Groups

This paper presents state estimation and stochastic optimal control gathered in one global optimization problem generating dual effect i.e. the control can improve the future estimation. As the optimal policy is impossible to compute, a…

The particle filter (PF) is a powerful inference tool widely used to estimate the filtering distribution in non-linear and/or non-Gaussian problems. To overcome the curse of dimensionality of PF, the block PF (BPF) inserts a blocking step…

This paper analyzes directional tracking in 2D with the extended Kalman filter on Lie groups (LG-EKF). The study stems from the problem of tracking objects moving in 2D Euclidean space, with the observer measuring direction only, thus…

Control-type particle filters have been receiving increasing attention over the last decade as a means of obtaining sample based approximations to the sequential Bayesian filtering problem in the nonlinear setting. Here we analyse one such…

Filtering for stochastic reaction networks (SRNs) is an important problem in systems/synthetic biology aiming to estimate the state of unobserved chemical species. A good solution to it can provide scientists valuable information about the…

In this article, we propose a new filtering algorithm based in the Koopman operator, showing that a nonlinear filtering problem can be seen as an equivalent problem where the dynamics is infinite dimensional, but linear. Using Extended…

Non-overshooting stabilization is a form of safe control where the setpoint chosen by the user is at the boundary of the safe set. Exponential non-overshooting stabilization, including suitable extensions to systems with deterministic and…

Feedback delay networks (FDNs) are recursive filters, which are widely used for artificial reverberation and decorrelation. One central challenge in the design of FDNs is the generation of sufficient echo density in the impulse response…

This paper deals with state estimation of stochastic models with linear state dynamics, continuous or discrete in time. The emphasis is laid on a numerical solution to the state prediction by the time-update step of the grid-point-based…

Particle filtering is a numerical Bayesian technique that has great potential for solving sequential estimation problems involving non-linear and non-Gaussian models. Since the estimation accuracy achieved by particle filters improves as…

In recent work (arXiv:1006.3100v1), we have presented a novel approach for improving particle filters for multi-target tracking. The suggested approach was based on drift homotopy for stochastic differential equations. Drift homotopy was…

We combine conditional state density construction with an extension of the Scenario Approach for stochastic Model Predictive Control to nonlinear systems to yield a novel particle-based formulation of stochastic nonlinear output-feedback…

In this tutorial we consider the non-linear Bayesian filtering of static parameters in a time-dependent model. We outline the theoretical background and discuss appropriate solvers. We focus on particle-based filters and present Sequential…

In this work, we develop tracking and estimation techniques relevant to underwater targets. Particularly, we explore particle filtering techniques for target tracking. It is a numerical approximation method for implementing a recursive…

In a global numerical weather prediction (NWP) modeling framework we study the implementation of Gaussian uncertainty of individual particles into the assimilation step of a localized adaptive particle filter (LAPF). We obtain a local…

A stochastic filter uses a series of measurements over time to produce estimates of unknown variables based on a dynamic model. For a quantum system, such an algorithm is provided by a quantum filter, which is also known as a stochastic…

Bayesian Non-negative Matrix Factorization (NMF) is a promising approach for understanding uncertainty and structure in matrix data. However, a large volume of applied work optimizes traditional non-Bayesian NMF objectives that fail to…

A primary bottleneck in modern FFT-based matched-filter searches for gravitational waves from compact binary coalescences is not raw processor throughput, but available memory bandwidth. Standard frequency-domain implementations, such as…

The non-commutative nature of 3D rotations poses well-known challenges in generalizing planar problems to three-dimensional ones, even more so in contact-rich tasks where haptic information (i.e., forces/torques) is involved. In this sense,…

In this paper, we present a novel approach to approximate the gain function of the feedback particle filter (FPF). The exact gain function is the solution of a Poisson equation involving a probability-weighted Laplacian. The numerical…