Related papers: Joint Maximum a Posteriori State Path and Paramete…
This paper studies an optimization-based state estimation approach for discrete-time nonlinear systems under bounded process and measurement disturbances. We first introduce a full information estimator (FIE), which is given as a solution…
This paper is concerned with high moment and pathwise error estimates for fully discrete mixed finite element approximattions of stochastic Navier-Stokes equations with general additive noise. The implicit Euler-Maruyama scheme and standard…
We study the problem of parameter estimation for discretely observed stochastic differential equations driven by small fractional noise. Under some conditions, we obtain strong consistency and rate of convergence of the least square…
In this article, the state estimation problems with unknown process noise and measurement noise covariances for both linear and nonlinear systems are considered. By formulating the joint estimation of system state and noise parameters into…
State estimation of a dynamical system refers to estimating the state of a system given an imperfect model, noisy measurements and some or no information about the initial state. While Kalman filtering is optimal for estimation of linear…
We study the excess mean square error (EMSE) above the minimum mean square error (MMSE) in large linear systems where the posterior mean estimator (PME) is evaluated with a postulated prior that differs from the true prior of the input…
We present a nonlinear dynamical approximation method for time-dependent Partial Differential Equations (PDEs). The approach makes use of parametrized decoder functions, and provides a general, and principled way of understanding and…
The problem of system identification for the Kalman filter, relying on the expectation-maximization (EM) procedure to learn the underlying parameters of a dynamical system, has largely been studied assuming that observations are sampled at…
Power system state estimation (PSSE) is commonly formulated as weighted least-square (WLS) algorithm and solved using iterative methods such as Gauss-Newton methods. However, iterative methods have become more sensitive to system operating…
The discretization of fluid-poromechanics systems is typically highly demanding in terms of computational effort. This is particularly true for models of multiphysics flows in the brain, due to the geometrical complexity of the cerebral…
Sparsity constraints on the control inputs of a linear dynamical system naturally arise in several practical applications such as networked control, computer vision, seismic signal processing, and cyber-physical systems. In this work, we…
We present a novel statistically-based discretization paradigm and derive a class of maximum a posteriori (MAP) estimators for solving ill-conditioned linear inverse problems. We are guided by the theory of sparse stochastic processes,…
Recent advances in stochastic differential equations (SDEs) have enabled robust modeling of real-world dynamical processes across diverse domains, such as finance, health, and systems biology. However, parameter estimation for SDEs…
To control a dynamical system it is essential to obtain an accurate estimate of the current system state based on uncertain sensor measurements and existing system knowledge. An optimization-based moving horizon estimation (MHE) approach…
A general approach to provide approximate parameterizations of the "small" scales by the "large" ones, is developed for stochastic partial differential equations driven by linear multiplicative noise. This is accomplished via the concept of…
We introduce a novel paradigm for learning non-parametric drift and diffusion functions for stochastic differential equation (SDE). The proposed model learns to simulate path distributions that match observations with non-uniform time…
The paper considers a class of parametric elliptic partial differential equations (PDEs), where the coefficients and the right-hand side function depend on infinitely many (uncertain) parameters. We introduce a two-level a posteriori…
In this paper, we consider the problem of distributed parameter estimation in sensor networks. Each sensor makes successive observations of an unknown $d$-dimensional parameter, which might be subject to Gaussian random noises. They aim to…
We present a compartmentalized approach to finding the maximum a-posteriori (MAP) estimate of a latent time series that obeys a dynamic stochastic model and is observed through noisy measurements. We specifically consider modern signal…
We discuss through multiple numerical examples the accuracy and efficiency of a micro-macro acceleration method for stiff stochastic differential equations (SDEs) with a time-scale separation between the fast microscopic dynamics and the…