Related papers: Distributed Kalman filtering with minimum-time con…

Kalman filtering is a powerful approach to adaptive filtering for various problems in signal processing. The frequency-domain adaptive Kalman filter (FDKF), based on the concept of the acoustic state space, provides a unifying solution to…

In the classical Kalman filter(KF), the estimated state is a linear combination of the one-step predicted state and measurement state, their confidence level change when the prediction mean square error matrix and covariance matrix of…

Cubature Kalman Filter (CKF) has good performance when handling nonlinear dynamic state estimations. However, it cannot work well in non-Gaussian noise and bad data environment due to the lack of auto-adaptive ability to measure noise…

Motivated by non-linear, non-Gaussian, distributed multi-sensor/agent navigation and tracking applications, we propose a multi-rate consensus/fusion based framework for distributed implementation of the particle filter (CF/DPF). The CF/DPF…

Traditional Kalman filter (KF) is derived under the well-known minimum mean square error (MMSE) criterion, which is optimal under Gaussian assumption. However, when the signals are non-Gaussian, especially when the system is disturbed by…

A distributed adaptive algorithm for estimation of sparse unknown parameters in the presence of nonGaussian noise is proposed in this paper based on normalized least mean fourth (NLMF) criterion. At the first step, local adaptive NLMF…

This paper proposes a decentralized dynamic state estimation (DSE) algorithm with bimodal Gaussian mixture measurement noise. The decentralized DSE is formulated using the Ensemble Kalman Filter (EnKF) and then compared with the unscented…

This paper studies the convergence of the estimation error process and the characterization of the corresponding invariant measure in distributed Kalman filtering for potentially unstable and large linear dynamic systems. A gossip network…

A quantile is defined as a value below which random draws from a given distribution falls with a given probability. In a centralized setting where the cumulative distribution function (CDF) is unknown, the empirical CDF (ECDF) can be used…

This research paper delves into the Linear Kalman Filter (LKF), highlighting its importance in merging data from multiple sensors. The Kalman Filter is known for its recursive solution to the linear filtering problem in discrete data,…

This paper presents a novel Wasserstein distributionally robust control and state estimation algorithm for partially observable linear stochastic systems, where the probability distributions of disturbances and measurement noises are…

Nonlinear Kalman Filters are powerful and widely-used techniques when trying to estimate the hidden state of a stochastic nonlinear dynamic system. In this paper, we extend the Smart Sampling Kalman Filter (S2KF) with a new point symmetric…

This paper presents ECO-DKF, the first Event-Triggered and Certifiable Optimal Distributed Kalman Filter. Our algorithm addresses two major issues inherent to Distributed Kalman Filters: (i) fully distributed and scalable optimal estimation…

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…

We develop a fast algorithm for Kalman Filter applied to the random walk forecast model. The key idea is an efficient representation of the estimate covariance matrix at each time-step as a weighted sum of two contributions - the process…

This work introduces a new, distributed implementation of the Ensemble Kalman Filter (EnKF) that allows for non-sequential assimilation of large datasets in high-dimensional problems. The traditional EnKF algorithm is computationally…

Statistical signal processing based speech enhancement methods adopt expert knowledge to design the statistical models and linear filters, which is complementary to the deep neural network (DNN) based methods which are data-driven. In this…

This paper introduces a novel state estimation framework for robots using differentiable ensemble Kalman filters (DEnKF). DEnKF is a reformulation of the traditional ensemble Kalman filter that employs stochastic neural networks to model…

The ensemble Kalman filter (EnKF) is a method for combining a dynamical model with data in a sequential fashion. Despite its widespread use, there has been little analysis of its theoretical properties. Many of the algorithmic innovations…

The frequency-domain Kalman filter (FKF) has been utilized in many audio signal processing applications due to its fast convergence speed and robustness. However, the performance of the FKF in under-modeling situations has not been…