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Extended Kalman Filtering (EKF) can be used to propagate and quantify input uncertainty through a Deep Neural Network (DNN) assuming mild hypotheses on the input distribution. This methodology yields results comparable to existing methods…
This article examines state estimation in discrete-time nonlinear stochastic systems with finite-dimensional states and infinite-dimensional measurements, motivated by real-world applications such as vision-based localization and tracking.…
In this paper, we introduce a new, local formulation of the ensemble Kalman Filter approach for atmospheric data assimilation. Our scheme is based on the hypothesis that, when the Earth's surface is divided up into local regions of moderate…
Estimation of the covariance matrix of asset returns from high frequency data is complicated by asynchronous returns, market mi- crostructure noise and jumps. One technique for addressing both asynchronous returns and market microstructure…
An Ensemble Kalman Filter (EnKF, the predictor) is used make a large change in the state, followed by a Particle Filer (PF, the corrector) which assigns importance weights to describe non-Gaussian distribution. The weights are obtained by…
Efficient and high-fidelity prior sampling and inversion for complex geological media is still a largely unsolved challenge. Here, we use a deep neural network of the variational autoencoder type to construct a parametric low-dimensional…
The accurate electromagnetic modeling of both low- and high-frequency physics is crucial in the signal and power integrity analysis of electrical interconnects. The boundary element method (BEM) is appealing for lossy conductor modeling…
The ensemble Kalman filter (EnKF) is a Monte Carlo based implementation of the Kalman filter (KF) for extremely high-dimensional, possibly nonlinear and non-Gaussian state estimation problems. Its ability to handle state dimensions in the…
Airborne electromagnetic surveys may consist of hundreds of thousands of soundings. In most cases, this makes 3D inversions unfeasible even when the subsurface is characterized by a high level of heterogeneity. Instead, approaches based on…
The sample covariance matrix of a random vector is a good estimate of the true covariance matrix if the sample size is much larger than the length of the vector. In high-dimensional problems, this condition is never met. As a result, in…
High-resolution temperature monitoring is essential for many engineering and scientific applications, but conventional sensors are limited by insufficient resolution and susceptibility to electromagnetic interference. Fiber-optic…
This paper addresses the challenging problem of parameter estimation for multicomponent complex exponential signals, commonly known as sums of cisoids. Traditional approaches that estimate individual component parameters face significant…
Quantitative monitoring of subsurface changes is essential for ensuring the safety of geological CO2 sequestration. Full-waveform monitoring (FWM) can resolve these changes at high spatial resolution, but conventional deterministic…
We derive concentration inequalities for the supremum norm of the difference between a kernel density estimator (KDE) and its point-wise expectation that hold uniformly over the selection of the bandwidth and under weaker conditions on the…
This paper discusses an efficient parallel implementation of the ensemble Kalman filter based on the modified Cholesky decomposition. The proposed implementation starts with decomposing the domain into sub-domains. In each sub-domain a…
Data assimilation (DA) is a key component of many forecasting models in science and engineering. DA allows one to estimate better initial conditions using an imperfect dynamical model of the system and noisy/sparse observations available…
Imaging the bio-impedance distribution of a biological sample can provide understandings about the sample's electrical properties which is an important indicator of physiological status. This paper presents a multi-frequency electromagnetic…
Acoustic- and elastic-waveform inversion is an important and widely used method to reconstruct subsurface velocity image. Waveform inversion is a typical non-linear and ill-posed inverse problem. Existing physics-driven computational…
Seismic acoustic impedance plays a crucial role in lithological identification and subsurface structure interpretation. However, due to the inherently ill-posed nature of the inversion problem, directly estimating impedance from post-stack…
The use of ensemble methods to solve inverse problems is attractive because it is a derivative-free methodology which is also well-adapted to parallelization. In its basic iterative form the method produces an ensemble of solutions which…