Related papers: Fast Robust Methods for Singular State-Space Model…
Dynamic inference problems in autoregressive (AR/ARMA/ARIMA), exponential smoothing, and navigation are often formulated and solved using state-space models (SSM), which allow a range of statistical distributions to inform innovations and…
State-space smoothing has found many applications in science and engineering. Under linear and Gaussian assumptions, smoothed estimates can be obtained using efficient recursions, for example Rauch-Tung-Striebel and Mayne-Fraser algorithms.…
In this paper, we present a novel optimization algorithm designed specifically for estimating state-space models to deal with heavy-tailed measurement noise and constraints. Our algorithm addresses two significant limitations found in…
Filtering and smoothing algorithms for linear discrete-time state-space models with skewed and heavy-tailed measurement noise are presented. The algorithms use a variational Bayes approximation of the posterior distribution of models that…
We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of…
Continuous-time state-space models (SSMs) are flexible tools for analysing irregularly sampled sequential observations that are driven by an underlying state process. Corresponding applications typically involve restrictive assumptions…
State-space models (SSMs) are a highly expressive model class for learning patterns in time series data and for system identification. Deterministic versions of SSMs (e.g. LSTMs) proved extremely successful in modeling complex time series…
Large-scale dynamic inverse problems are often ill-posed due to model complexity and the high dimensionality of the unknown parameters. Regularization is commonly employed to mitigate ill-posedness by incorporating prior information and…
Kalman filtering and smoothing are the foundational mechanisms for efficient inference in Gauss-Markov models. However, their time and memory complexities scale prohibitively with the size of the state space. This is particularly…
Accurate, efficient, and robust state estimation is more important than ever in robotics as the variety of platforms and complexity of tasks continue to grow. Historically, discrete-time filters and smoothers have been the dominant…
In this paper, the problem of state estimation, in the context of both filtering and smoothing, for nonlinear state-space models is considered. Due to the nonlinear nature of the models, the state estimation problem is generally intractable…
Gaussian process (GP) regression with 1D inputs can often be performed in linear time via a stochastic differential equation formulation. However, for non-Gaussian likelihoods, this requires application of approximate inference methods…
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…
This paper presents a novel identification approach of Koopman models of nonlinear systems with inputs under rather general noise conditions. The method uses deep state-space encoders based on the concept of state reconstructability and an…
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…
A recursive state estimation procedure is derived for a linear time varying system with both parametric uncertainties and stochastic measurement droppings. This estimator has a similar form as that of the Kalman filter with intermittent…
State estimation or filtering serves as a fundamental task to enable intelligent decision-making in applications such as autonomous vehicles, robotics, healthcare monitoring, smart grids, intelligent transportation, and predictive…
Traditional filtering algorithms for state estimation -- such as classical Kalman filtering, unscented Kalman filtering, and particle filters - show performance degradation when applied to nonlinear systems whose uncertainty follows…
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…
Classical discriminant analysis assumes identically distributed training data, yet in many applications observations are collected over time and the class-conditional distributions drift. This population drift renders stationary classifiers…