Related papers: On the Stability of Kalman-Bucy Diffusion Processe…
The stability properties of matrix-valued Riccati diffusions are investigated. The matrix-valued Riccati diffusion processes considered in this work are of interest in their own right, as a rather prototypical model of a matrix-valued…
The exponential stability and the concentration properties of a class of extended Kalman-Bucy filters are analyzed. New estimation concentration inequalities around partially observed signals are derived in terms of the stability properties…
The Ensemble Kalman filter is a sophisticated and powerful data assimilation method for filtering high dimensional problems arising in fluid mechanics and geophysical sciences. This Monte Carlo method can be interpreted as a mean-field…
The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of…
The purpose of this review is to present a comprehensive overview of the theory of ensemble Kalman-Bucy filtering for continuous-time, linear-Gaussian signal and observation models. We present a system of equations that describe the flow of…
It is known that Kalman-Bucy filter is stable with respect to initial conditions under the conditions of uniform complete controllability and uniform complete observability (Bishop et. al 2017, Ocone et. al 1996). In this paper, we prove…
In this paper, we discover that the trace of the division of the optimal output estimation error covariance over the noise covariance attained by the Kalman-Bucy filter can be explicitly expressed in terms of the plant dynamics and noise…
In this technical note, we prove that the ODEFTC algorithm constitutes the first optimal distributed state estimator for continuous-time linear time-varying systems subject to stochastic disturbances. Particularly, we formally show that it…
Matrix differential Riccati equations are central in filtering and optimal control theory. The purpose of this article is to develop a perturbation theory for a class of stochastic matrix Riccati diffusions. Diffusions of this type arise,…
This article is concerned with the exponential stability and the uniform propagation of chaos properties of a class of Extended Ensemble Kalman-Bucy filters with respect to the time horizon. This class of nonlinear filters can be…
The Kalman-Bucy filter is extensively utilized across various applications. However, its computational complexity increases significantly in large-scale systems. To mitigate this challenge, a low-rank approximated Kalman--Bucy filter was…
The ensemble Kalman filter has become a popular data assimilation technique in the geosciences. However, little is known theoretically about its long term stability and accuracy. In this paper, we investigate the behavior of an ensemble…
The Kalman filter is indispensable for state estimation across diverse fields but faces computational challenges with higher dimensions. Approaches such as Riccati equation approximations aim to alleviate this complexity, yet ensuring…
Kalman filter is a best linear unbiased state estimator. It is also comprehensible from the point view of the Bayesian estimation. However, this note gives a detailed derivation of Kalman filter from the mutual information perspective for…
We consider the problem of optimal control for partially observed dynamical systems. Despite its prevalence in practical applications, there are still very few algorithms available, which take uncertainties in the current state estimates…
This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter which provides an exact solution for the linear Gaussian…
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential equations exhibit a quadratic drift function and a…
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…
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-Bucy filter based estimates based upon several nonlinear…
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…