Related papers: Weak in the NEES?: Auto-tuning Kalman Filters with…
This research enhances linear regression models by integrating a Kalman filter and analysing curve areas to minimize loss. The goal is to develop an optimal linear regression equation using stochastic gradient descent (SGD) for weight…
Since the groundbreaking work of the Kalman filter in the 1960s, considerable effort has been devoted to various discrete time filters for dynamic state estimation, especially including dozens of different types of suboptimal…
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…
The performance of a guidance, navigation and control (GNC) system of an autonomous underwater vehicle (AUV) heavily depends on the correct tuning of its parameters. Our objective is to automatically tune these parameters with respect to…
We derive an optimal policy for adaptively restarting a randomized algorithm, based on observed features of the run-so-far, so as to minimize the expected time required for the algorithm to successfully terminate. Given a suitable Bayesian…
One of the most common misconceptions made about the Kalman filter when applied to linear systems is that it requires an assumption that all error and noise processes are Gaussian. This misconception has frequently led to the Kalman filter…
Bayesian optimization (BO) developed as an approach for the efficient optimization of expensive black-box functions without gradient information. A typical BO paper introduces a new approach and compares it to some alternatives on simulated…
Bayesian optimization (BO) is a popular framework to optimize black-box functions. In many applications, the objective function can be evaluated at multiple fidelities to enable a trade-off between the cost and accuracy. To reduce the…
Bayesian optimization has demonstrated impressive success in finding the optimum input x* and output f* = f(x*) = max f(x) of a black-box function f. In some applications, however, the optimum output f* is known in advance and the goal is…
Bayesian optimization is a sample-efficient method for finding a global optimum of an expensive-to-evaluate black-box function. A global solution is found by accumulating a pair of query point and its function value, repeating these two…
Bayesian Neural Networks (BNNs) offer a principled and natural framework for proper uncertainty quantification in the context of deep learning. They address the typical challenges associated with conventional deep learning methods, such as…
In this paper, we present the optimization formulation of the Kalman filtering and smoothing problems, and use this perspective to develop a variety of extensions and applications. We first formulate classic Kalman smoothing as a least…
This paper is considered with joint estimation of state and time-varying noise covariance matrices in non-linear stochastic state space models. We present a variational Bayes and Gaussian filtering based algorithm for efficient computation…
One of the goals of computer-aided surgery is to match intraoperative data to preoperative images of the anatomy and add complementary information that can facilitate the task of surgical navigation. In this context, mechanical palpation…
Accurate state estimation of nonlinear dynamical systems is fundamental to modern aerospace operations across air, sea, and space domains. Online tracking of adversarial unmanned aerial vehicles (UAVs) is especially challenging due to agile…
The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian L\'evy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian…
In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and…
Within the framework of complex system design, it is often necessary to solve mixed variable optimization problems, in which the objective and constraint functions can depend simultaneously on continuous and discrete variables.…
Kalman filter is widely used for residual generation in fault detection. It leads to optimality in fault detection using some performance indices and also leads to statistically sound residual evaluation and threshold setting. This paper…
Bayesian optimization (BO) is a well-established method to optimize black-box functions whose direct evaluations are costly. In this paper, we tackle the problem of incorporating expert knowledge into BO, with the goal of further…