Related papers: A reduced order Kalman Filter model for sequential…
In many signal processing applications of Kalman filter (KF) and its variants and extensions, accurate estimation of extreme states is often of great importance. When the observations used are uncertain, however, KF suffers from conditional…
Estimation of unsteady flow fields around flight vehicles may improve flow interactions and lead to enhanced vehicle performance. Although flow-field representations can be very high-dimensional, their dynamics can have low-order…
Dynamic operation of biological processes, such as anaerobic digestion (AD), requires reliable process monitoring to guarantee stable operating conditions at all times. Unscented Kalman filters (UKF) are an established tool for nonlinear…
This paper is concerned with the problem of distributed Kalman filtering in a network of interconnected subsystems with distributed control protocols. We consider networks, which can be either homogeneous or heterogeneous, of linear…
This report develops several modular, 2-step realizations (inspired by Kalman filter algorithms) of nudging-based data assimilation $$Step \ 1 \quad \frac{\widetilde {v}^{n+1}-v^{n}}{k}+v^{n}\cdot \nabla \widetilde {v}^{n+1}-\nu \triangle…
We introduce cooperative sequential state space estimation in the domain of augmented complex statistics, whereby nodes in a network collaborate locally to estimate noncircular complex signals. For rigour, a distributed augmented (widely…
Increasing the resolution of a model can improve the performance of a data assimilation system: first because model field are in better agreement with high resolution observations, then the corrections are better sustained and, with…
Computational Fluid Dynamics (CFD) simulation by the numerical solution of the Navier-Stokes equations is an essential tool in a wide range of applications from engineering design to climate modeling. However, the computational cost and…
A novel dynamic mode decomposition (DMD) method based on a Kalman filter is proposed. This paper explains the fast algorithm of the proposed Kalman filter DMD (KFDMD) in combination with truncated proper orthogonal decomposition for…
We study the Extended Kalman Filter in constant dynamics, offering a bayesian perspective of stochastic optimization. We obtain high probability bounds on the cumulative excess risk in an unconstrained setting. In order to avoid any…
This report provides a brief historical evolution of the concepts in the Kalman filtering theory since ancient times to the present. A brief description of the filter equations its aesthetics, beauty, truth, fascinating perspectives and…
In this paper, a new filter model called set-membership Kalman filter for nonlinear state estimation problems was designed, where both random and unknown but bounded uncertainties were considered simultaneously in the discrete-time system.…
Data assimilation methods aim at estimating the state of a system by combining observations with a physical model. When sequential data assimilation is considered, the joint distribution of the latent state and the observations is described…
This paper introduces two new algorithms to accurately estimate the process noise covariance of a discrete-time Kalman filter online for robust orbit determination in the presence of dynamics model uncertainties. Common orbit determination…
This paper develops efficient ensemble Kalman filter (EnKF) implementations based on shrinkage covariance estimation. The forecast ensemble members at each step are used to estimate the background error covariance matrix via the…
Data assimilation (DA) aims to optimally combine model forecasts and observations that are both partial and noisy. Multi-model DA generalizes the variational or Bayesian formulation of the Kalman filter, and we prove that it is also the…
The Kalman filter (KF) is an optimal linear state estimator for linear systems, and numerous extensions, including the extended Kalman filter (EKF), unscented Kalman filter (UKF), and cubature Kalman filter (CKF), have been developed for…
Recursive least squares (RLS) is derived as the recursive minimizer of the least-squares cost function. Moreover, it is well known that RLS is a special case of the Kalman filter. This work presents the Kalman filter least squares (KFLS)…
We consider a general form of the sensor scheduling problem for state estimation of linear dynamical systems, which involves selecting sensors that minimize the trace of the Kalman filter error covariance (weighted by a positive…
The Kalman filter is a fundamental filtering algorithm that fuses noisy sensory data, a previous state estimate, and a dynamics model to produce a principled estimate of the current state. It assumes, and is optimal for, linear models and…