Related papers: State and Parameter Estimation from Observed Signa…
This letter deals with the problem of state estimation for a class of systems involving linear dynamics with multiple quadratic output measurements. We propose a systematic approach to immerse the original system into a linear time-varying…
Simultaneous Input and State Estimation (SISE) enables the reconstruction of unknown inputs and internal states in dynamical systems, with applications in fault detection, robotics, and control. While various methods exist for linear…
The problem of faulty sensor detection is investigated in large sensor networks where the sensor faults are sparse and time-varying, such as those caused by attacks launched by an adversary. Group testing and the Kalman filter are designed…
Geometry of the state space is known to play a crucial role in many applications of Kalman filters, especially robotics and motion tracking. The Lie group-centric approach is currently very common, although a Riemannian approach has also…
De Facto, signal processing is the interpolation and extrapolation of a sequence of observations viewed as a realization of a stochastic process. Its role in applied statistics ranges from scenarios in forecasting and time series analysis,…
We present an analysis of ensemble Kalman inversion, based on the continuous time limit of the algorithm. The analysis of the dynamical behaviour of the ensemble allows us to establish well-posedness and convergence results for a fixed…
Many real-world systems modeled using differential equations involve unknown or uncertain parameters. Standard approaches to address parameter estimation inverse problems in this setting typically focus on estimating constants; yet some…
Stochastic stability for centralized time-varying Kalman filtering over a wireles ssensor network with correlated fading channels is studied. On their route to the gateway, sensor packets, possibly aggregated with measurements from several…
A method for sequential Bayesian inference of the static parameters of a dynamic state space model is proposed. The method is based on the observation that many dynamic state space models have a relatively small number of static parameters…
Estimation of a dynamical system's latent state subject to sensor noise and model inaccuracies remains a critical yet difficult problem in robotics. While Kalman filters provide the optimal solution in the least squared sense for linear and…
Traditional filtering algorithms for state estimation -- such as classical Kalman filtering, unscented Kalman filtering, and particle filters - show performance degradation when applied to nonlinear systems whose uncertainty follows…
Accurate state estimates are required for increasingly complex systems, to enable, for example, feedback control. However, available state estimation schemes are not necessarily real-time feasible for certain large-scale systems. Therefore,…
The use of data assimilation for the merging of observed data with dynamical models is becoming standard in modern physics. If a parametric model is known, methods such as Kalman filtering have been developed for this purpose. If no model…
In this work, we present methods for state estimation in continuous-discrete nonlinear systems involving stochastic differential equations. We present the extended Kalman filter, the unscented Kalman filter, the ensemble Kalman filter, and…
Data assimilation refers to the process of obtaining an estimate of a system's state using a model for the system's time evolution and a time series of measurements that are possibly noisy and incomplete. However, for practical reasons, the…
We consider a state estimation problem where observations are made by multiple sensors. These observations are communicated over a lossy wireless network to a central base station that computes estimates via a Kalman filter. The goal is to…
Duality between estimation and optimal control is a problem of rich historical significance. The first duality principle appears in the seminal paper of Kalman-Bucy, where the problem of minimum variance estimation is shown to be dual to a…
State estimation incorporates the feedback in optimization based advanced process control systems and is very important for the performance of model predictive control. We describe the extended Kalman filter, the unscented Kalman filter,…
In this paper, we consider the problem of state estimation through observations possibly corrupted with both bad data and additive observation noises. A mixed $\ell_1$ and $\ell_2$ convex programming is used to separate both sparse bad data…
This study considers the data assimilation problem in coupled systems, which consists of two components (sub-systems) interacting with each other through certain coupling terms. A straightforward way to tackle the assimilation problem in…