Related papers: The decoupled extended Kalman filter for dynamic e…

We investigate the convergence and stability properties of the decoupled extended Kalman filter learning algorithm (DEKF) within the long-short term memory network (LSTM) based online learning framework. For this purpose, we model DEKF as a…

Accurate structural response prediction forms a main driver for structural health monitoring and control applications. This often requires the proposed model to adequately capture the underlying dynamics of complex structural systems. In…

The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman…

We derive symmetry preserving invariant extended Kalman filters (IEKF) on matrix Lie groups. These Kalman filters have an advantage over conventional extended Kalman filters as the error dynamics for such filters are independent of the…

The Kalman filter (KF) is used in a variety of applications for computing the posterior distribution of latent states in a state space model. The model requires a linear relationship between states and observations. Extensions to the Kalman…

This paper introduces a novel state estimation framework for robots using differentiable ensemble Kalman filters (DEnKF). DEnKF is a reformulation of the traditional ensemble Kalman filter that employs stochastic neural networks to model…

This work introduces a new, distributed implementation of the Ensemble Kalman Filter (EnKF) that allows for non-sequential assimilation of large datasets in high-dimensional problems. The traditional EnKF algorithm is computationally…

Recent research in nonlinear filtering and signal processing has suggested an efficient derivative-free Extended Kalman filter (EKF) designed for discrete-time stochastic systems. Such approach, however, has failed to address the estimation…

Latent variable models have become instrumental in computational neuroscience for reasoning about neural computation. This has fostered the development of powerful offline algorithms for extracting latent neural trajectories from neural…

We propose a Neural-Enhanced Distributed Kalman Filter (NDKF) for multi-sensor state estimation in nonlinear systems. Unlike traditional Kalman filters that rely on explicit analytical models and assume centralized fusion, NDKF leverages…

The extended Kalman filter (EKF) is a widely adopted method for sensor fusion in navigation applications. A crucial aspect of the EKF is the online determination of the process noise covariance matrix reflecting the model uncertainty. While…

High fidelity behavior prediction of intelligent agents is critical in many applications. However, the prediction model trained on the training set may not generalize to the testing set due to domain shift and time variance. The challenge…

We propose an efficient online approximate Bayesian inference algorithm for estimating the parameters of a nonlinear function from a potentially non-stationary data stream. The method is based on the extended Kalman filter (EKF), but uses a…

We formulate the discrete-time inverse optimal control problem of inferring unknown parameters in the objective function of an optimal control problem from measurements of optimal states and controls as a nonlinear filtering problem. This…

The Kalman filter is a fundamental tool for state estimation in dynamical systems. While originally developed for linear Gaussian settings, it has been extended to nonlinear problems through approaches such as the extended and unscented…

A robust desensitized cubature Kalman filtering (DCKF) for nonlinear systems with uncertain parameter is proposed. Sensitivity matrices are defined as the integral form, and desensitized cost function is designed by penalizing the posterior…

In this article, we propose a new filtering algorithm based in the Koopman operator, showing that a nonlinear filtering problem can be seen as an equivalent problem where the dynamics is infinite dimensional, but linear. Using Extended…

We study the ensemble Kalman filter (EnKF) algorithm for sequential data assimilation in a general situation, that is, for nonlinear forecast and measurement models with non-additive and non-Gaussian noises. Such applications traditionally…

Recent advances in counter-adversarial systems have garnered significant research attention to inverse filtering from a Bayesian perspective. For example, interest in estimating the adversary's Kalman filter tracked estimate with the…

Filtering - the task of estimating the conditional distribution for states of a dynamical system given partial and noisy observations - is important in many areas of science and engineering, including weather and climate prediction.…