Related papers: Nonlinear Explicit Stochastic Attitude Filter on S…
In this work, we consider a sensor selection drawn at random by a sampling with replacement policy for a linear time-invariant dynamical system subject to process and measurement noise. We employ the Kalman filter to estimate the state of…
In this paper, we develop the mathematical framework for filtering problems arising from biophysical applications where data is collected from confocal laser scanning microscopy recordings of the space-time evolution of intracellular wave…
Tracking and forecasting the rotation of objects is fundamental in computer vision and robotics, yet SO(3) extrapolation remains challenging as (1) sensor observations can be noisy and sparse, (2) motion patterns can be governed by complex…
Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…
In this paper, we apply the nonlinear filtering theory to the estimation of the partially observed dynamics of anthracnose which is a phytopathology. The signal here is the inhibition rate and the observations are the fruit volume ant the…
We here adapt an extended version of the adaptive cubic regularisation method with dynamic inexact Hessian information for nonconvex optimisation in [3] to the stochastic optimisation setting. While exact function evaluations are still…
Stochastic Gradient Descent (SGD) is a widely deployed optimization procedure throughout data-driven and simulation-driven disciplines, which has drawn a substantial interest in understanding its global behavior across a broad class of…
A filter for inertial-based odometry is a recursive method used to estimate the pose from measurements of ego-motion and relative pose. Currently, there is no known filter that guarantees the computation of a globally optimal solution for…
We consider the problem of estimating unknown parameters in stochastic differential equations driven by colored noise, which we model as a sequence of Gaussian stationary processes with decreasing correlation time. We aim to infer…
First-order methods for stochastic optimization have undeniable relevance, in part due to their pivotal role in machine learning. Variance reduction for these algorithms has become an important research topic. In contrast to common…
We introduce a hybrid stochastic estimator to design stochastic gradient algorithms for solving stochastic optimization problems. Such a hybrid estimator is a convex combination of two existing biased and unbiased estimators and leads to…
Rigid motion computation or estimation is a cornerstone in numerous fields. Attitude computation can be achieved by integrating the angular velocity measured by gyroscopes, the accuracy of which is crucially important for the dead-reckoning…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
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…
We propose a stochastic nonconvex optimization algorithm that achieves almost sure $\tilde{\mathcal{O}}(\epsilon^{-1.5})$ iteration complexity for problems with smooth objective functions and gradients only observable with noise. The…
In this paper, we address the problem of attitude synchronization for a group of rigid body systems evolving on SO(3). The interaction among these systems is modeled through an undirected, connected, and acyclic graph topology. First, we…
In this paper we develop a new approach to nonlinear stochastic partial differential equations with Gaussian noise. Our aim is to provide an abstract framework which is applicable to a large class of SPDEs and includes many important cases…
In this paper, we propose an Anderson-accelerated stochastic extragradient algorithm for solving a class of stochastic variational inequalities, by incorporating Anderson acceleration into the stochastic extragradient method under a…
A series of novel filters for probabilistic inference that propose an alternative way of performing Bayesian updates, called particle flow filters, have been attracting recent interest. These filters provide approximate solutions to…
We consider a class of stochastic smooth convex optimization problems under rather general assumptions on the noise in the stochastic gradient observation. As opposed to the classical problem setting in which the variance of noise is…