Related papers: Interacting particle filters for simultaneous stat…
The ensemble Kalman filter (EnKF) is a data assimilation technique that uses an ensemble of models, updated with data, to track the time evolution of a usually non-linear system. It does so by using an empirical approximation to the…
We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply the original Ensemble Kalman Filter algorithm proposed by…
Identifying parameters in a system of nonlinear, ordinary differential equations is vital for designing a robust controller. However, if the system is stochastic in its nature or if only noisy measurements are available, standard…
We propose a new class of filtering and smoothing methods for inference in high-dimensional, nonlinear, non-Gaussian, spatio-temporal state-space models. The main idea is to combine the ensemble Kalman filter and smoother, developed in the…
Accurate state estimates are required for increasingly complex systems, to enable, for example, feedback control. However, available state estimation schemes are not necessarily real-time feasible for certain large-scale systems. Therefore,…
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.…
In many applications of Monte Carlo nonlinear filtering, the propagation step is computationally expensive, and hence, the sample size is limited. With small sample sizes, the update step becomes crucial. Particle filtering suffers from the…
The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of…
The ensemble Kalman filter has become a popular data assimilation technique in the geosciences. However, little is known theoretically about its long term stability and accuracy. In this paper, we investigate the behavior of an ensemble…
In this paper, the ensemble consider Kalman filter is proposed to mitigate the negative effects of uncertain parameters in nonlinear dynamic and measurement models. The ensemble Kalman filter can avoid using the Jacobian matrices and reduce…
We consider the problem of optimal control for partially observed dynamical systems. Despite its prevalence in practical applications, there are still very few algorithms available, which take uncertainties in the current state estimates…
In this paper, we study the problem of estimating the state of a dynamic state-space system where the output is subject to quantization. We compare some classical approaches and a new development in the literature to obtain the filtering…
We analyze the Ensemble and Polynomial Chaos Kalman filters applied to nonlinear stationary Bayesian inverse problems. In a sequential data assimilation setting such stationary problems arise in each step of either filter. We give a new…
Estimation of a dynamical system's latent state subject to sensor noise and model inaccuracies remains a critical yet difficult problem in robotics. While Kalman filters provide the optimal solution in the least squared sense for linear and…
The inverse problem of determining parameters in a model by comparing some output of the model with observations is addressed. This is a description for what hat to be done to use the Gauss-Markov-Kalman filter for the Bayesian estimation…
In a recent methodological paper, we showed how to learn chaotic dynamics along with the state trajectory from sequentially acquired observations, using local ensemble Kalman filters. Here, we more systematically investigate the possibility…
This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…
In this paper, we consider the filtering problem of an optical parametric oscillator (OPO). The OPO pump power may fluctuate due to environmental disturbances, resulting in uncertainty in the system modeling. Thus, both the state and the…
Motivated by the need for accurate frequency information, a novel algorithm for estimating the fundamental frequency and its rate of change in three-phase power systems is developed. This is achieved through two stages of Kalman filtering.…
We present a new strategy for filtering high-dimensional multiscale systems characterized by high-order non-Gaussian statistics using observations from leading-order moments. A closed stochastic-statistical modeling framework suitable for…