Related papers: Inference on high-dimensional implicit dynamic mod…
Complex systems are often described with competing models. Such divergence of interpretation on the system may stem from model fidelity, mathematical simplicity, and more generally, our limited knowledge of the underlying processes.…
This paper considers the Linear Minimum Variance recursive state estimation for the linear discrete time dynamic system with random state transition and measurement matrices, i.e., random parameter matrices Kalman filtering. It is shown…
The well-known Kalman filters model dynamical systems by relying on state-space representations with the next state updated, and its uncertainty controlled, by fresh information associated with newly observed system outputs. This paper…
De-interleaving of the mixtures of Hidden Markov Processes (HMPs) generally depends on its representation model. Existing representation models consider Markov chain mixtures rather than hidden Markov, resulting in the lack of robustness to…
Filtering is a general name for inferring the states of a dynamical system given observations. The most common filtering approach is Gaussian Filtering (GF) where the distribution of the inferred states is a Gaussian whose mean is an affine…
We consider the task of filtering a dynamic parameter evolving as a diffusion process, given data collected at discrete times from a likelihood which is conjugate to the marginal law of the diffusion, when a generic dual process on a…
The ensemble Kalman filter (EnKF) is a popular technique for performing inference in state-space models (SSMs), particularly when the dynamic process is high-dimensional. Unlike reweighting methods such as sequential Monte Carlo (SMC, i.e.…
We introduce Gaussian orthogonal latent factor processes for modeling and predicting large correlated data. To handle the computational challenge, we first decompose the likelihood function of the Gaussian random field with a…
We present a discrete filter for subgrid-scale (SGS) model, coupled with the discretization corrected particle strength exchange (DC-PSE) method for the simulation of three-dimensional viscous incompressible flow, at high Reynolds flows.…
This paper introduces and analyses interacting underdamped Langevin algorithms, termed Kinetic Interacting Particle Langevin Monte Carlo (KIPLMC) methods, for statistical inference in latent variable models. We propose a diffusion process…
The Derivative-free nonlinear Kalman Filter is proposed for state estimation and fault diagnosis in distributed parameter systems and particularly in dynamical systems described by partial differential equations of the nonlinear wave type.…
We present a multi-fidelity method for uncertainty quantification of parameter estimates in complex systems, leveraging generative models trained to sample the target conditional distribution. In the Bayesian inference setting, traditional…
We examine an analytic variational inference scheme for the Gaussian Process State Space Model (GPSSM) - a probabilistic model for system identification and time-series modelling. Our approach performs variational inference over both the…
The Gaussian process state-space model (GPSSM) has attracted extensive attention for modeling complex nonlinear dynamical systems. However, the existing GPSSM employs separate Gaussian processes (GPs) for each latent state dimension,…
Detailed dynamical systems' models used in the life sciences may include hundreds of state variables and many input parameters, often with physical meaning. Therefore, efficient and unique input parameter identification, from experimental…
This paper presents a new filter for state-space models based on Bellman's dynamic-programming principle, allowing for nonlinearity, non-Gaussianity and degeneracy in the observation and/or state-transition equations. The resulting Bellman…
Gaussian process state-space models (GPSSMs) provide a principled and flexible approach to modeling the dynamics of a latent state, which is observed at discrete-time points via a likelihood model. However, inference in GPSSMs is…
Autoregressive generative models -- including Transformers, recurrent neural networks, classical Kalman filters, state space models, and Mamba -- all generate sequences by sampling each output from a deterministic summary of the past,…
The Kalman filter (KF) provides optimal recursive state estimates for linear-Gaussian systems and underpins applications in control, signal processing, and others. However, it is vulnerable to outliers in the measurements and process noise.…
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…