Related papers: Recursive Geman-McClure method for implementing se…
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…
This work proposes a universal and adaptive second-order method for minimizing second-order smooth, convex functions. Our algorithm achieves $O(\sigma / \sqrt{T})$ convergence when the oracle feedback is stochastic with variance $\sigma^2$,…
Accurate learning of system dynamics is becoming increasingly crucial for advanced control and decision-making in engineering. However, real-world systems often exhibit multiple channels and highly nonlinear transition dynamics, challenging…
We consider a nonlinear filtering problem for a signal-observation system driven by a Volterra-type Gaussian rough path, whose sample paths may exhibit greater roughness than those of Brownian motion. The observation process includes a…
We introduce a recursive algorithm for performing compressed sensing on streaming data. The approach consists of a) recursive encoding, where we sample the input stream via overlapping windowing and make use of the previous measurement in…
In this paper, a singular value decomposition (SVD) approach is developed for implementing the cubature Kalman filter. The discussed estimator is one of the most popular and widely used method for solving nonlinear Bayesian filtering…
Filtering and smoothing algorithms for linear discrete-time state-space models with skew-t-distributed measurement noise are proposed. The algorithms use a variational Bayes based posterior approximation with coupled location and skewness…
Signal Reconstruction is one of the most important problem in signal processing. This paper proposes a novel signal reconstruction method based on the prolate spherical wave functions (PSWFs) and maximum correntropy criterion (MCC). The…
Conventional Kalman filtering (KF) approaches exhibit significant limitations in addressing nonlinear state estimation problems contaminated by non-Gaussian noise disturbances. To overcome these challenges, this work proposes a robust…
We consider the problem of online estimation of a real-valued signal corrupted by oblivious zero-mean noise using linear estimators. The estimator is required to iteratively predict the underlying signal based on the current and several…
In this paper, we consider the integrating factor midpoint method for wave-type equations and derive optimal order a posteriori error estimates. We first introduce an integrating factor midpoint approximation defined by the piecewise linear…
This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating and identifying mixed causal and noncausal models. The GCov estimator is a semi-parametric method that minimizes an objective function…
Block-Oriented Nonlinear (BONL) models, particularly Wiener models, are widely used for their computational efficiency and practicality in modeling nonlinear behaviors in physical systems. Filtering and smoothing methods for Wiener systems,…
In this paper, we propose a general robust subband adaptive filtering (GR-SAF) scheme against impulsive noise by minimizing the mean square deviation under the random-walk model with individual weight uncertainty. Specifically, by choosing…
Accurate underwater navigation is a challenging task due to the absence of global navigation satellite system signals and the reliance on inertial navigation systems that suffer from drift over time. Doppler velocity logs (DVLs) are…
We demonstrate the capabilities of nonlinear Volterra models to simulate the behavior of an audio system and compare them to linear filters. In this paper a nonlinear model of an audio system based on Volterra series is presented and…
The problem of $H_{\infty}$ filtering for attitude estimation using rotation matrices and vector measurements is studied. Starting from a storage function on the Special Orthogonal Group $SO(3)$, a dissipation inequality is considered, and…
We introduce a new analysis of an adaptive mixture method that combines outputs of two constituent filters running in parallel to model an unknown desired signal. This adaptive mixture is shown to achieve the mean square error (MSE)…
This paper addresses state estimation of linear systems with special attention on unknown process and measurement noise covariances, aiming to enhance estimation accuracy while preserving the stability guarantee of the Kalman filter. To…
Robust compressive sensing(CS) reconstruction has become an attractive research topic in recent years. Robust CS aims to reconstruct the sparse signals under non-Gaussian(i.e. heavy tailed) noises where traditional CS reconstruction…