Related papers: Joint Maximum a Posteriori State Path and Paramete…

This paper introduces a Fault Diagnosis (Detection, Isolation, and Estimation) method using Set-Membership Estimation (SME) designed for a class of nonlinear systems that are linear to the fault parameters. The methodology advances fault…

This paper proposes new methodology for sequential state and parameter estimation within the ensemble Kalman filter. The method is fully Bayesian and propagates the joint posterior density of states and parameters over time. In order to…

Despite the rapid advancements in Artificial Intelligence (AI), Stochastic Differential Equations (SDEs) remain the gold-standard formalism for modeling systems under uncertainty. However, applying SDEs in practice is fraught with…

This paper proposes a parallel-in-time method for computing continuous-time maximum-a-posteriori (MAP) trajectory estimates of the states of partially observed stochastic differential equations (SDEs), with the goal of improving…

This article proposes for stochastic partial differential equations (SPDEs) driven by additive noise, a novel approach for the approximate parameterizations of the ``small'' scales by the ``large'' ones, along with the derivaton of the…

Neural Posterior Estimation (NPE) enables rapid parameter inference for complex simulators with intractable likelihoods. NPE trains an inference network to estimate a probability density over parameters given data, typically assumed to be…

In this work we propose an approximate Minimum Mean-Square Error (MMSE) filter for linear dynamic systems with Gaussian Mixture noise. The proposed estimator tracks each component of the Gaussian Mixture (GM) posterior with an individual…

This paper proposes a joint detection and estimation (JDE) scheme based on mutual information for the radar work, whose goal is to choose the true one between target existent and target absence, and to estimate the unknown distance…

In various practical situations, we encounter data from stochastic processes which can be efficiently modelled by an appropriate parametric model for subsequent statistical analyses. Unfortunately, the most common estimation and inference…

This paper addresses the problem of estimating the modes of an observed non-stationary mixture signal in the presence of an arbitrary distributed noise. A novel Bayesian model is introduced to estimate the model parameters from the…

Stochastic differential equations (SDEs) provide a flexible framework for modeling temporal dynamics in partially observed systems. A central task is to calibrate such models from data, which requires inferring latent trajectories and…

We propose a minimum distance estimator (MDE) for parameter identification in misspecified models characterized by a sequence of ergodic stochastic processes that converge weakly to the model of interest. The data is generated by the…

The Expectation Maximization (EM) algorithm is of key importance for inference in latent variable models including mixture of regressors and experts, missing observations. This paper introduces a novel EM algorithm, called…

Many problems in the geophysical sciences demand the ability to calibrate the parameters and predict the time evolution of complex dynamical models using sequentially-collected data. Here we introduce a general methodology for the joint…

The paper deals with state estimation of a spatially distributed system given noisy measurements from pointwise-in-time-and-space threshold sensors spread over the spatial domain of interest. A Maximum A posteriori Probability (MAP)…

Stochastic differential equations (SDEs) using jump-diffusion processes describe many natural phenomena at the microscopic level. Since they are commonly used to model economic and financial evolutions, the calibration and optimal control…

Parameter estimation for a parabolic linear stochastic partial differential equation in one space dimension is studied observing the solution field on a discrete grid in a fixed bounded domain. Considering an infill asymptotic regime in…

Stochastic differential equations are an important modeling class in many disciplines. Consequently, there exist many methods relying on various discretization and numerical integration schemes. In this paper, we propose a novel,…

This paper studies the remote state estimation problem of linear time-invariant systems with stochastic event-triggered sensor schedules in the presence of packet drops between the sensor and the estimator. It is shown that the system state…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…