Related papers: Nonlinear Kalman Filtering for Censored Observatio…
Contemporary data assimilation often involves millions of prediction variables. The classical Kalman filter is no longer computationally feasible in such a high dimensional context. This problem can often be resolved by exploiting the…
Geometry of the state space is known to play a crucial role in many applications of Kalman filters, especially robotics and motion tracking. The Lie group-centric approach is currently very common, although a Riemannian approach has also…
In order for biomass drying processes to be efficient, it is crucial to achieve the target residual water content within a close margin, since more conservative drying would result in a waste of energy. A method for a reliable estimation of…
This paper addresses the problem of resilient state estimation and attack reconstruction for bounded-error nonlinear discrete-time systems with nonlinear observations/ constraints, where both sensors and actuators can be compromised by…
This paper proposes a new extended-state observer-based framework for adaptive nonlinear regulator design of a class of nonlinear systems, in the general nonequilibrium theory. By augmenting an extended-state observer with an internal…
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process $\nu$ whose components have paths of bounded variation. The presence of the process $\nu$ prevents from…
Linear regression is arguably the most prominent among statistical inference methods, popular both for its simplicity as well as its broad applicability. On par with data-intensive applications, the sheer size of linear regression problems…
A novel approach to the problem of partial state estimation of nonlinear systems is proposed. The main idea is to translate the state estimation problem into one of estimation of constant, unknown parameters related to the systems initial…
This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization…
In this paper we propose a linear variable screening method for computer experiments when the number of input variables is larger than the number of runs. This method uses a linear model to model the nonlinear data, and screens the…
Sensing a magnetic field with an atomic magnetometer operated in real time presents significant challenges, primarily due to sensor non-linearity, the presence of noise, and the need for one-shot estimation. To address these challenges, we…
This paper proposes a robust nonlinear observer synthesis method for a population of systems modelled using the Koopman operator. The Koopman operator allows nonlinear systems to be rewritten as infinite-dimensional linear systems. A…
Kalman filters and observers are two main classes of dynamic state estimation (DSE) routines. Power system DSE has been implemented by various Kalman filters, such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF).…
In this paper we propose a new state observer design technique for nonlinear systems. It consists of an extension of the recently introduced parameter estimation-based observer, which is applicable for systems verifying a particular…
In this paper, we propose an approach to address the problems with ambiguity in tuning the process and observation noises for a discrete-time linear Kalman filter. Conventional approaches to tuning (e.g. using normalized estimation error…
We consider the nonlinear Kalman filtering problem using Kullback-Leibler (KL) and $\alpha$-divergence measures as optimization criteria. Unlike linear Kalman filters, nonlinear Kalman filters do not have closed form Gaussian posteriors…
A new application of duality relations of stochastic processes is demonstrated. Although conventional usages of the duality relations need analytical solutions for the dual processes, we here employ numerical solutions of the dual processes…
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…
In this paper, we revisit the Kalman filter theory. After giving the intuition on a simplified financial markets example, we revisit the maths underlying it. We then show that Kalman filter can be presented in a very different fashion using…
The goal of this survey paper is to provide an introduction to chaos synchronization using nonlinear observers and its applications in cryptography. I start with an overview of cryptography. Then, I recall the basics of chaos theory and how…