Related papers: Stochastic state estimation via incremental iterat…
We investigate nonlinear state-space models without a closed-form transition density, and propose reformulating such models over their latent noise variables rather than their latent state variables. In doing so the tractable noise density…
This paper presents a new iterative state estimation algorithm for advection dominated flows with non-Gaussian uncertainty description of $L^\infty$-type: uncertain initial condition and model error are assumed to be pointvise bounded in…
In this paper we propose a method to estimate the initial state of a linear dynamical system with noisy observation. The method allows the user to have estimations in real time, that is, to have a new estimation for each new observation.…
Most nonlinear filters used in spacecraft navigation are based on a linear approximation of the optimal minimum mean square error estimator. The Unscented Kalman Filter (UKF) handles nonlinear dynamics through a sigma-point transform, but…
In this paper we develop a nonparametric maximum likelihood estimate of the mixing distribution of the parameters of a linear stochastic dynamical system. This includes, for example, pharmacokinetic population models with process and…
Matrix factorization from a small number of observed entries has recently garnered much attention as the key ingredient of successful recommendation systems. One unresolved problem in this area is how to adapt current methods to handle…
Inference and simulation in the context of high-dimensional dynamical systems remain computationally challenging problems. Some form of dimensionality reduction is required to make the problem tractable in general. In this paper, we propose…
Bayesian estimation is a vital tool in robotics as it allows systems to update the robot state belief using incomplete information from noisy sensors. To render the state estimation problem tractable, many systems assume that the motion and…
We present an adaptive smoother for linear state-space models with unknown process and measurement noise covariances. The proposed method utilizes the variational Bayes technique to perform approximate inference. The resulting smoother is…
Model predictive control is an advanced control approach for multivariable systems with constraints, which is reliant on an accurate dynamic model. Most real dynamic models are however affected by uncertainties, which can lead to…
Stochastic averaging allows for the reduction of the dimension and complexity of stochastic dynamical systems with multiple time scales, replacing fast variables with statistically equivalent stochastic processes in order to analyze…
Dynamic structural equation models (DSEMs) combine time-series modeling of within-person processes with hierarchical modeling of between-person differences and differences between timepoints, and have become very popular for the analysis of…
In this paper, we propose an approach to address the problems with ambiguity in tuning the process and observation noises for a discrete-time linear Kalman filter. Conventional approaches to tuning (e.g. using normalized estimation error…
Many problems in the geophysical sciences demand the ability to calibrate the parameters and predict the time evolution of complex dynamical models using sequentially-collected data. Here we introduce a general methodology for the joint…
Many state estimation algorithms must be tuned given the state space process and observation models, the process and observation noise parameters must be chosen. Conventional tuning approaches rely on heuristic hand-tuning or gradient-based…
In this paper, we present an optimal filter for linear time-varying continuous-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense. We first show that the unknown inputs…
It is a well established result that, in classical dynamical systems with sufficient time-scale separation, the fast chaotic degrees of freedom are well modeled by (Gaussian) white noise. In this paper, we present the stochastic dynamical…
Chaos is ubiquitous in physical systems. The associated sensitivity to initial conditions is a significant obstacle in forecasting the weather and other geophysical fluid flows. Data assimilation is the process whereby the uncertainty in…
The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of…
This paper proposes a decentralized dynamic state estimation (DSE) algorithm with bimodal Gaussian mixture measurement noise. The decentralized DSE is formulated using the Ensemble Kalman Filter (EnKF) and then compared with the unscented…