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We consider the problem of localizing a manned, semi-autonomous, or autonomous vehicle in the environment using information coming from the vehicle's sensors, a problem known as navigation or simultaneous localization and mapping (SLAM)…
This paper proposes an event-triggered variational Bayesian filter for remote state estimation with unknown and time-varying noise covariances. After presetting multiple nominal process noise covariances and an initial measurement noise…
Recommender systems inherently exhibit a low-rank structure in latent space. A key challenge is to define meaningful and measurable distances in the latent space to capture user-user, item-item, user-item relationships effectively. In this…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
In this paper, approximate Linear Minimum Variance (LMV) filters for continuous-discrete state space models are introduced. The filters are obtained by means of a recursive approximation to the predictions for the first two moments of the…
A prevalent problem in general state-space models is the approximation of the smoothing distribution of a state, or a sequence of states, conditional on the observations from the past, the present, and the future. The aim of this paper is…
Reliable state estimation depends on accurately modeled noise covariances, which are difficult to determine in practice. This paper formulates the noise covariance estimation as a bilevel optimization problem that factorizes the joint…
A new smoothing method for the improvement on the identification and quantification of spectral functions based on the previous knowledge of the signals that are expected to be quantified, is presented. These signals are used as weighted…
Localization and mapping with heterogeneous multi-sensor fusion have been prevalent in recent years. To adequately fuse multi-modal sensor measurements received at different time instants and different frequencies, we estimate the…
In this paper, we consider a broad class of nonconvex and nonsmooth optimization problems, where one objective component is a nonsmooth weakly convex function composed with a linear operator. By integrating variable smoothing techniques…
Reliable state estimation is essential for autonomous systems operating in complex, noisy environments. Classical filtering approaches, such as the Kalman filter, can struggle when facing nonlinear dynamics or non-Gaussian noise, and even…
This paper provides a detailed theoretical analysis of methods to approximate the solutions of high-dimensional (>10^6) linear Bayesian problems. An optimal low-rank projection that maximizes the information content of the Bayesian…
We extend the linear mixed-effects state model to accommodate the correlated individuals and investigate its parameter and state estimation based on disturbance smoothing in this paper. For parameter estimation, EM and score based…
Particle smoothing enables state estimation in nonlinear and non-Gaussian state-space models, but its practical use is often limited by high computational cost. Backward smoothing methods such as the Forward Filter Backward Smoother (FFBS)…
In this paper, we present a stochastic gradient algorithm for minimizing a smooth objective function that is an expectation over noisy cost samples, and only the latter are observed for any given parameter. Our algorithm employs a gradient…
A variance reduction technique in nonparametric smoothing is proposed: at each point of estimation, form a linear combination of a preliminary estimator evaluated at nearby points with the coefficients specified so that the asymptotic bias…
In this work, we develop proximal preconditioned gradient methods with a focus on spectral gradient methods providing a proximal extension to the Muon and Scion optimizers. We introduce a family of stochastic algorithms that can handle a…
Popular deterministic approximations of posterior distributions from, e.g. the Laplace method, variational Bayes and expectation-propagation, generally rely on symmetric approximating families, often taken to be Gaussian. This choice…
A Support Vector Method for multivariate performance measures was recently introduced by Joachims (2005). The underlying optimization problem is currently solved using cutting plane methods such as SVM-Perf and BMRM. One can show that these…
We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of…