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In this paper, we present a novel optimization algorithm designed specifically for estimating state-space models to deal with heavy-tailed measurement noise and constraints. Our algorithm addresses two significant limitations found in…
This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…
This paper introduces a novel approach to detect and address faulty or corrupted external sensors in the context of inertial navigation by leveraging a switching Kalman Filter combined with parameter augmentation. Instead of discarding the…
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…
Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…
This paper is concerned with the linear/nonlinear Kalman-like filtering problem under binary sensors. Since innovation represents new information in the sensor measurement and serves to correct the prediction for the Kalman-like filter…
The Kalman filter is an established tool for the analysis of dynamic systems with normally distributed noise, and it has been successfully applied in numerous application areas. It provides sequentially calculated estimates of the system…
We develop a fast algorithm for Kalman Filter applied to the random walk forecast model. The key idea is an efficient representation of the estimate covariance matrix at each time-step as a weighted sum of two contributions - the process…
This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization…
Contemporary data assimilation often involves millions of prediction variables. The classical Kalman filter is no longer computationally feasible in such a high dimensional context. This problem can often be resolved by exploiting the…
This paper considers the Linear Minimum Variance recursive state estimation for the linear discrete time dynamic system with random state transition and measurement matrices, i.e., random parameter matrices Kalman filtering. It is shown…
Accurate estimation of the dynamic states of a synchronous machine (e.g., rotor s angle and speed) is essential in monitoring and controlling transient stability of a power system. It is well known that the covariance matrixes of process…
The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian L\'evy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian…
A Kalman filter can be used to determine material parameters using uncertain experimental data. However, starting with inappropriate initial values for material parameters might include false local attractors or even divergence. Also,…
The problem of adaptive Kalman filtering for a discrete observable linear time-varying system with unknown noise covariance matrices is addressed in this paper. The measurement difference autocovariance method is used to formulate a linear…
We address the problem of determining optimal sensor precisions for estimating the states of linear time-varying discrete-time stochastic dynamical systems, with guaranteed bounds on the estimation errors. This is performed in the Kalman…
Filtering is a widely used methodology for the incorporation of observed data into time-evolving systems. It provides an online approach to state estimation inverse problems when data is acquired sequentially. The Kalman filter plays a…
The Kalman filter (KF) is an optimal linear state estimator for linear systems, and numerous extensions, including the extended Kalman filter (EKF), unscented Kalman filter (UKF), and cubature Kalman filter (CKF), have been developed for…
This paper studies the optimal state estimation for a dynamic system, whose transfer function can be nonlinear and the input noise can be of arbitrary distribution. Our algorithm differs from the conventional extended Kalman filter (EKF)…
Kalman filtering has been traditionally applied in three application areas of estimation, state estimation, parameter estimation (a.k.a. model updating), and dual estimation. However, Kalman filter is often not sufficient when experimenting…