Related papers: Numerical Gaussian process Kalman filtering
Kalman filtering is a classic state estimation technique used in application areas such as signal processing and autonomous control of vehicles. It is now being used to solve problems in computer systems such as controlling the voltage and…
We introduce new Gaussian Process (GP) high-order approximations to linear operations that are frequently used in various numerical methods. Our method employs the kernel-based GP regression modeling, a non-parametric Bayesian approach to…
Bayesian filtering is a general framework for recursively estimating the state of a dynamical system. Classical solutions such that Kalman filter and Particle filter are introduced in this report. Gaussian processes have been introduced as…
The Kalman filter (KF) is one of the most widely used tools for data assimilation and sequential estimation. In this work, we show that the state estimates from the KF in a standard linear dynamical system setting are equivalent to those…
Gaussian Processes (GPs) are widely recognized as powerful non-parametric models for regression and classification. Traditional GP frameworks predominantly operate under the assumption that the inputs are either accurately known or subject…
Most Kalman filter extensions assume Gaussian noise and when the noise is non-Gaussian, usually other types of filters are used. These filters, such as particle filter variants, are computationally more demanding than Kalman type filters.…
Gaussian processes have been successful in both supervised and unsupervised machine learning tasks, but their computational complexity has constrained practical applications. We introduce a new approximation for large-scale Gaussian…
The aim of this article is to present a novel parallelization method for temporal Gaussian process (GP) regression problems. The method allows for solving GP regression problems in logarithmic O(log N) time, where N is the number of time…
The Gaussian Filter (GF) is one of the most widely used filtering algorithms; instances are the Extended Kalman Filter, the Unscented Kalman Filter and the Divided Difference Filter. GFs represent the belief of the current state by a…
A stochastic filter uses a series of measurements over time to produce estimates of unknown variables based on a dynamic model. For a quantum system, such an algorithm is provided by a quantum filter, which is also known as a stochastic…
Kalman filtering and smoothing are the foundational mechanisms for efficient inference in Gauss-Markov models. However, their time and memory complexities scale prohibitively with the size of the state space. This is particularly…
This paper presents an adaptive Kalman filter for a linear dynamic system perturbed by an additive disturbance. The objective is to estimate both of the state and the unknown disturbance concurrently, while learning the disturbance as a…
A Gaussian process (GP)-based methodology is proposed to emulate complex dynamical computer models (or simulators). The method relies on emulating the numerical flow map of the system over an initial (short) time step, where the flow map is…
The Kalman filter provides an optimal estimation for a linear system with Gaussian noise. However when the noises are non-Gaussian in nature, its performance deteriorates rapidly. For non-Gaussian noises, maximum correntropy Kalman filter…
We consider the problem of learning time-varying functions in a distributed fashion, where agents collect local information to collaboratively achieve a shared estimate. This task is particularly relevant in control applications, whenever…
Gaussian processes (GPs) are crucial in machine learning for quantifying uncertainty in predictions. However, their associated covariance matrices, defined by kernel functions, are typically dense and large-scale, posing significant…
This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter,…
Wireless sensor networks (WSNs) represent a critical research domain within the Internet of Things (IoT) technology. The distributed Kalman filter (DKF) has garnered significant attention as an information fusion method for WSNs. However,…
State estimation in non-linear models is performed by tracking the posterior distribution recursively. A plethora of algorithms have been proposed for this task. Among them, the Gaussian particle filter uses a weighted set of particles to…
The state-of-the-art tensor network Kalman filter lifts the curse of dimensionality for high-dimensional recursive estimation problems. However, the required rounding operation can cause filter divergence due to the loss of positive…