Related papers: Smoothing and parameter estimation by soft-adheren…
In this paper, we study the problem of estimating the state of a dynamic state-space system where the output is subject to quantization. We compare some classical approaches and a new development in the literature to obtain the filtering…
We review optimization-based approaches to smoothing nonlinear dynamical systems. These approaches leverage the fact that the Extended Kalman Filter and corresponding smoother can be framed as the Gauss-Newton method for a nonlinear least…
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…
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…
Kalman filtering can provide an optimal estimation of the system state from noisy observation data. This algorithm's performance depends on the accuracy of system modeling and noise statistical characteristics, which are usually challenging…
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…
Data assimilation provides algorithms for widespread applications in various fields. It is of practical use to deal with a large amount of information in the complex system that is hard to estimate. Weather forecasting is one of the…
Data assimilation schemes are confronted with the presence of model errors arising from the imperfect description of atmospheric dynamics. These errors are usually modeled on the basis of simple assumptions such as bias, white noise, first…
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…
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…
In this paper we develop a data-driven smoothing technique for high-dimensional and non-linear panel data models. We allow for individual specific (non-linear) functions and estimation with econometric or machine learning methods by using…
In this paper, we propose a new model reduction technique for linear stochastic systems that builds upon knowledge filtering and utilizes optimal Kalman filtering techniques. This new technique will reduce the dimension of the noise…
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…
There has been a recent surge in development of accurate machine learning (ML) weather prediction models, but evaluation of these models has mainly been focused on medium-range forecasts, not their performance in cycling data assimilation…
The Kalman filter and Rauch-Tung-Striebel (RTS) smoother are optimal for state estimation in linear dynamic systems. With nonlinear systems, the challenge consists in how to propagate uncertainty through the state transitions and output…
Sparsity constraints on the control inputs of a linear dynamical system naturally arise in several practical applications such as networked control, computer vision, seismic signal processing, and cyber-physical systems. In this work, we…
Kalman filtering is a classic state estimation technique used in application areas such as signal processing and autonomous control of vehicles. It is now being used to solve problems in computer systems such as controlling the voltage and…
Nonlinear (systems of) ordinary differential equations (ODEs) are common tools in the analysis of complex one-dimensional dynamic systems. In this paper we propose a smoothing approach regularized by a quasilinearized ODE-based penalty in…
Nonlinear dynamics are ubiquitous in science and engineering applications, but the physics of most complex systems is far from being fully understood. Discovering interpretable governing equations from measurement data can help us…
Surface-based data is commonly observed in diverse practical applications spanning various fields. In this paper, we introduce a novel nonparametric method to discover the underlying signals from data distributed on complex surface-based…