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Data assimilation is the task to combine evolution models and observational data in order to produce reliable predictions. In this paper, we focus on ensemble-based recursive data assimilation problems. Our main contribution is a hybrid…
Heavy tails is a common feature of filtering distributions that results from the nonlinear dynamical and observation processes as well as the uncertainty from physical sensors. In these settings, the Kalman filter and its ensemble version -…
Accurate modeling and prediction of complex physical systems often rely on data assimilation techniques to correct errors inherent in model simulations. Traditional methods like the Ensemble Kalman Filter (EnKF) and its variants as well as…
Ensemble Kalman--Bucy filters (EnKBFs) are an important tool in Data Assimilation that aim to approximate the posterior distribution for continuous time filtering problems using an ensemble of interacting particles. In this work we extend a…
This paper considers the problem of data-driven robust control design for nonlinear systems, for instance, obtained when discretizing nonlinear partial differential equations (PDEs). A robust learning control approach is developed for…
Extended Kalman Filter (EKF) has been a popular approach to localization a mobile robot. However, the performance of the EKF and the quality of the estimation depends on the correct a priori knowledge of process and measurement noise…
Mathematical modeling and simulation of complex physical systems based on partial differential equations (PDEs) have been widely used in engineering and industrial applications. To enable reliable predictions, it is crucial yet challenging…
Randomized algorithms exploit stochasticity to reduce computational complexity. One important example is random feature regression (RFR) that accelerates Gaussian process regression (GPR). RFR approximates an unknown function with a random…
This paper derives the extended Kalman filter (EKF) for continuous-time systems on matrix Lie groups observed through discrete-time measurements. By modeling the system noise on the Lie algebra and adopting a Stratonovich interpretation for…
Ensemble Kalman Sampler (EKS) is a method to find approximately $i.i.d.$ samples from a target distribution. As of today, why the algorithm works and how it converges is mostly unknown. The continuous version of the algorithm is a set of…
The widely-used Extended Kalman Filter (EKF) provides a straightforward recipe to estimate the mean and covariance of the state given all past measurements in a causal and recursive fashion. For a wide variety of applications, the EKF is…
Solving inverse problems without the use of derivatives or adjoints of the forward model is highly desirable in many applications arising in science and engineering. In this paper, we propose a new version of such a methodology, a framework…
We investigate the application of ensemble transform approaches to Bayesian inference of logistic regression problems. Our approach relies on appropriate extensions of the popular ensemble Kalman filter and the feedback particle filter to…
The Ensemble Kalman Filters (EnKF) employ a Monte-Carlo approach to represent covariance information, and are affected by sampling errors in operational settings where the number of model realizations is much smaller than the model state…
An online Data Assimilation strategy based on the Ensemble Kalman Filter (EnKF) is used to improve the predictive capabilities of Large Eddy Simulation (LES) for the analysis of the turbulent flow in a plane channel, $Re_\tau \approx 550$.…
The ensemble Kalman filter (EnKF) is a reliable data assimilation tool for high-dimensional meteorological problems. On the other hand, the EnKF can be interpreted as a particle filter, and particle filters collapse in high-dimensional…
We consider the problem of performing Bayesian inference for logistic regression using appropriate extensions of the ensemble Kalman filter. Two interacting particle systems are proposed that sample from an approximate posterior and prove…
Attitude estimation is crucial in aerospace engineering, robotics, and virtual reality applications, but faces difficulties due to nonlinear system dynamics and sensor limitations. This paper addresses the challenge of attitude estimation…
This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter which provides an exact solution for the linear Gaussian…
Localization in indoor environments is a technique which estimates the robot's pose by fusing data from onboard motion sensors with readings of the environment, in our case obtained by scan matching point clouds captured by a low-cost…