Related papers: Iterated Extended Kalman Smoother-based Variable S…
In this paper, adaptive prescribed finite time stabilization of uncertain single-input and single-output nonlinear systems is considered in the presence of unknown states, unknown parameters, external load disturbance, and non-symmetric…
State estimation in stochastic dynamical systems with noisy measurements is a challenge. While the Kalman filter is optimal for linear systems with independent Gaussian white noise, real-world conditions often deviate from these…
In this paper we present splitting methods which are based on iterative schemes and applied to stochastic nonlinear Schroedinger equation. We will design stochastic integrators which almost conserve the symplectic structure. The idea is…
This paper revisits classical works of Rauch (1963, et al. 1965) and develops a novel method for maximum likelihood (ML) smoothing estimation from incomplete information/data of stochastic state-space systems. Score function and conditional…
This paper considers the simultaneous state and unknown input estimation for continuous-discrete stochastic systems. Two types of approaches (with and without modeling of unknown inputs) which can address this issue are investigated. A…
The Kalman filter (KF) provides optimal recursive state estimates for linear-Gaussian systems and underpins applications in control, signal processing, and others. However, it is vulnerable to outliers in the measurements and process noise.…
Addressing large-scale indefinite least squares (ILS) problem poses notable computational bottlenecks in the field of numerical linear algebra. State-of-the-art iterative schemes for such problems are predominantly constructed upon the…
This paper investigates the distributionally robust filtering of signals generated by state-space models driven by exogenous disturbances with noisy observations in finite and infinite horizon scenarios. The exact joint probability…
In this paper, we study a smoothness regularization method for a varying coefficient model based on sparse and irregularly sampled functional data which is contaminated with some measurement errors. We estimate the one-dimensional…
We consider the sparse optimization problem with nonlinear constraints and an objective function, which is given by the sum of a general smooth mapping and an additional term defined by the $ \ell_0 $-quasi-norm. This term is used to obtain…
This letter shows that the following three classes of recursive state estimation filters: standard filters, such as the extended Kalman filter; iterated filters, such as the iterated unscented Kalman filter; and dynamically iterated…
Input estimation is a signal processing technique associated with deconvolution of measured signals after filtering through a known dynamic system. Kitanidis and others extended this to the simultaneous estimation of the input signal and…
Maximum likelihood estimation (MLE) is a well-known estimation method used in many robotic and computer vision applications. Under Gaussian assumption, the MLE converts to a nonlinear least squares (NLS) problem. Efficient solutions to NLS…
A Kalman filter based sequential estimator is presented in the present work. The estimator is integrated in the structure of segregated solvers for the analysis of incompressible flows. This technique provides an augmented flow state…
A non-Bayesian, regression-based or generalized least squares (GLS)-based approach is formally proposed to estimate a class of time-varying AR parameter models. This approach has partly been used by Ito et al. (2014, 2016a,b), and is proven…
We consider the goal-oriented error estimates for a linearized iterative solver for nonlinear partial differential equations. For the adjoint problem and iterative solver we consider, instead of the differentiation of the primal problem, a…
This article explores the estimation of parameters and states for linear stochastic systems with deterministic control inputs. It introduces a novel Kalman filtering approach called Kalman Filtering with Correlated Noises Recursive…
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…
In this work we are interested in the problems of supervised learning and variable selection when the input-output dependence is described by a nonlinear function depending on a few variables. Our goal is to consider a sparse nonparametric…
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…