Related papers: A Discriminative Approach to Bayesian Filtering wi…
A central obstacle in nonlinear Bayesian filtering is representing the belief distribution. Moment-based filters address this by propagating polynomial moments and reconstructing a density from them. Recent work completes the predict-update…
A stochastic filter uses a series of measurements over time to produce estimates of unknown variables based on a dynamic model. For a quantum system, such an algorithm is provided by a quantum filter, which is also known as a stochastic…
This paper presents a novel Wasserstein distributionally robust control and state estimation algorithm for partially observable linear stochastic systems, where the probability distributions of disturbances and measurement noises are…
Kalman filtering has been traditionally applied in three application areas of estimation, state estimation, parameter estimation (a.k.a. model updating), and dual estimation. However, Kalman filter is often not sufficient when experimenting…
Using Kalman techniques, it is possible to perform optimal estimation in linear Gaussian state-space models. We address here the case where the noise probability density functions are of unknown functional form. A flexible Bayesian…
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…
The ensemble Kalman filter is widely used in applications because, for high dimensional filtering problems, it has a robustness that is not shared for example by the particle filter; in particular it does not suffer from weight collapse.…
We use statistical learning methods to construct an adaptive state estimator for nonlinear stochastic systems. Optimal state estimation, in the form of a Kalman filter, requires knowledge of the system's process and measurement uncertainty.…
The extended Kalman filter (EKF) is a cornerstone of nonlinear state estimation, yet its performance is fundamentally limited by noise-model mismatch and linearization errors. We develop a residual-aware distributionally robust EKF that…
Motivated by filtering tasks under a linear system with non-Gaussian heavy-tailed noise, various robust Kalman filters (RKFs) based on different heavy-tailed distributions have been proposed. Although the sub-Gaussian $\alpha$-stable…
The problem of estimating the dynamic direction of arrival of far field signals impinging on a uniform linear array, with mutual coupling effects, is addressed. This work proposes two novel approaches able to provide accurate solutions,…
Counter-adversarial system design problems have lately motivated the development of inverse Bayesian filters. For example, inverse Kalman filter (I-KF) has been recently formulated to estimate the adversary's Kalman-filter-tracked estimates…
This paper proposes a decentralized dynamic state estimation (DSE) algorithm with bimodal Gaussian mixture measurement noise. The decentralized DSE is formulated using the Ensemble Kalman Filter (EnKF) and then compared with the unscented…
We consider the Kalman-filtering problem with multiple sensors which are connected through a communication network. If all measurements are delivered to one place called fusion center and processed together, we call the process centralized…
In this dissertation, we investigate the issue of robust localization in swarms of heterogeneous mobile agents with multiple and time-varying sensing modalities. Our focus is the development of filter-based and decoupled estimators under…
This paper presents an adaptive Kalman filter for a linear dynamic system perturbed by an additive disturbance. The objective is to estimate both of the state and the unknown disturbance concurrently, while learning the disturbance as a…
This article introduces a new algorithm for nonlinear state estimation based on deterministic sigma point and EKF linearized framework for priori mean and covariance respectively. This method reduces the computation cost of UKF about 50%…
This technical note addresses the UD factorization based Kalman filtering (KF) algorithms. Using this important class of numerically stable KF schemes, we extend its functionality and develop an elegant and simple method for computation of…
In this paper we present a new Kalman filter extension for state update called Partitioned Update Kalman Filter (PUKF). PUKF updates the state using multidimensional measurements in parts. PUKF evaluates the nonlinearity of the measurement…
We present a novel filtering algorithm that employs Bayesian transfer learning to address the challenges posed by mismatched intensity of the noise in a pair of sensors, each of which tracks an object using a nonlinear dynamic system model.…