Related papers: A reduced order Kalman Filter model for sequential…

We present the collaborative Kalman filter (CKF), a dynamic model for collaborative filtering and related factorization models. Using the matrix factorization approach to collaborative filtering, the CKF accounts for time evolution by…

Compressed Estimation approaches, such as the Generalised Compressed Kalman Filter (GCKF), reduce the computational cost and complexity of high dimensional and high frequency data assimilation problems; usually without sacrificing…

Data assimilation (DA) is a key component of many forecasting models in science and engineering. DA allows one to estimate better initial conditions using an imperfect dynamical model of the system and noisy/sparse observations available…

This proposed work introduces a data-assimilation-assisted approach to train neural networks, aimed at effectively reducing epistemic uncertainty in state estimates of separated flows. This method, referred to as model-consistent training,…

This paper considers the simultaneous state and unknown input estimation for continuous-discrete stochastic systems. Two types of approaches (with and without modeling of unknown inputs) which can address this issue are investigated. A…

The ensemble Kalman filter (EnKF) is a data assimilation technique that uses an ensemble of models, updated with data, to track the time evolution of a usually non-linear system. It does so by using an empirical approximation to the…

This paper addresses the numerical aspects of adaptive filtering (AF) techniques for simultaneous state and parameters estimation arising in the design of dynamic positioning systems in many areas of research. The AF schemes consist of a…

The input-parameter-state estimation capabilities of a novel unscented Kalman filter is examined herein on both linear and nonlinear systems. The unknown input is estimated in two stages within each time step. Firstly, the predicted dynamic…

Transient computational fluid dynamics (CFD) simulations are essential for many industrial applications, but suffer from high compute costs relative to steady-state simulations. This is due to the need to: (a) reach statistical steadiness…

Simulation-based Dynamic Traffic Assignment models have important applications in real-time traffic management and control. The efficacy of these systems rests on the ability to generate accurate estimates and predictions of traffic states,…

We propose a method to account for model error due to unresolved scales in the context of the ensemble transform Kalman filter (ETKF). The approach extends to this class of algorithms the deterministic model error formulation recently…

Ensemble Kalman methods were initially developed to solve nonlinear data assimilation problems in oceanography, but are now popular in applications far beyond their original use cases. Of particular interest is climate model calibration. As…

Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in many cases. However, this filters only…

State estimation in stochastic dynamical systems with noisy measurements is a challenge. While the Kalman filter is optimal for linear systems with independent Gaussian white noise, real-world conditions often deviate from these…

High-fidelity computational fluid dynamics (CFD) simulations for design space explorations can be exceedingly expensive due to the cost associated with resolving the finer scales. This computational cost/accuracy trade-off is a major…

In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…

Switching Kalman Filters (SKF) are well known for their ability to solve the piecewise linear dynamic system estimation problem using the standard Kalman Filter (KF). Practical SKFs are heuristic, approximate filters that are not guaranteed…

Over the years data assimilation methods have been developed to obtain estimations of uncertain model parameters by taking into account a few observations of a model state. The most reliable methods of MCMC are computationally expensive.…

The design of microfluidic devices is a cumbersome and tedious process that can be significantly improved by simulation. Methods based on Computational Fluid Dynamics (CFD) are considered state-of-the-art, but require extensive compute time…

We study the Continuous-Discrete Kalman Filter (CD-KF) for State-Space Models (SSMs) where continuous-time dynamics are observed via multiple sensors with discrete, irregularly timed measurements. Our focus extends to scenarios in which the…