Related papers: A Step by Step Mathematical Derivation and Tutoria…
In this work, we systematically benchmark two recently developed deep density methods for nonlinear filtering. We model the filtering density of a discretely observed stochastic differential equation through the associated Fokker--Planck…
In this paper, we study efficient approximate sampling for probability distributions known up to normalization constants. We specifically focus on a problem class arising in Bayesian inference for large-scale inverse problems in science and…
The Kalman filter combines forecasts and new observations to obtain an estimation which is optimal in the sense of a minimum average quadratic error. The Kalman filter has two main restrictions: (i) the dynamical system is assumed linear…
In this paper, we address a partition-based distributed state estimation problem for large-scale general nonlinear processes by proposing a Kalman-based approach. First, we formulate a linear full-information estimation design within a…
Filtering is concerned with online estimation of the state of a dynamical system from partial and noisy observations. In applications where the state of the system is high dimensional, ensemble Kalman filters are often the method of choice.…
Bayesian filtering is a cornerstone of state estimation in complex systems such as aerospace systems, yet exact solutions are available only for linear Gaussian models. In practice,nonlinear systems are handled through tractable…
We propose a probabilistic filtering method which fuses joint measurements with depth images to yield a precise, real-time estimate of the end-effector pose in the camera frame. This avoids the need for frame transformations when using it…
Recently the primal-dual method of multipliers (PDMM), a novel distributed optimization method, was proposed for solving a general class of decomposable convex optimizations over graphic models. In this work, we first study the convergence…
For a coronagraph to detect faint exoplanets, it will require focal plane wavefront control techniques to continue reaching smaller angular separations and higher contrast levels. These correction algorithms are iterative and the control…
The bilateral filter is a non-linear filter that uses a range filter along with a spatial filter to perform edge-preserving smoothing of images. A direct computation of the bilateral filter requires $O(S)$ operations per pixel, where $S$ is…
In this paper, we exploit the gradient flow structure of continuous-time formulations of Bayesian inference in terms of their numerical time-stepping. We focus on two particular examples, namely, the continuous-time ensemble Kalman-Bucy…
Conventional approximations to Bayesian inference rely on either approximations by statistics such as mean and covariance or by point particles. Recent advances such as the ensemble Gaussian mixture filter have generalized these notions to…
The Ensemble Kalman Filter method can be used as an iterative particle numerical scheme for state dynamics estimation and control--to--observable identification problems. In applications it may be required to enforce the solution to satisfy…
A sequential estimator based on the Ensemble Kalman Filter for Data Assimilation of fluid flows is presented in this research work. The main feature of this estimator is that the Kalman filter update, which relies on the determination of…
This paper studies Galerkin approximations applied to the Zakai equation of stochastic filtering. The basic idea of this approach is to project the infinite-dimensional Zakai equation onto some finite-dimensional subspace generated by…
In order for biomass drying processes to be efficient, it is crucial to achieve the target residual water content within a close margin, since more conservative drying would result in a waste of energy. A method for a reliable estimation of…
Motivated by the need for accurate frequency information, a novel algorithm for estimating the fundamental frequency and its rate of change in three-phase power systems is developed. This is achieved through two stages of Kalman filtering.…
Kalman Filter (KF) is an optimal linear state prediction algorithm, with applications in fields as diverse as engineering, economics, robotics, and space exploration. Here, we develop an extension of the KF, called a Pathspace Kalman Filter…
The inverse problem of determining parameters in a model by comparing some output of the model with observations is addressed. This is a description for what hat to be done to use the Gauss-Markov-Kalman filter for the Bayesian estimation…
In this paper, we present a new ensemble-based filter method by reconstructing the analysis step of the particle filter through a transport map, which directly transports prior particles to posterior particles. The transport map is…