Related papers: Innovative And Additive Outlier Robust Kalman Filt…
State filtering is a key problem in many signal processing applications. From a series of noisy measurement, one would like to estimate the state of some dynamic system. Existing techniques usually adopt a Gaussian noise assumption which…
This paper proposes new methodology for sequential state and parameter estimation within the ensemble Kalman filter. The method is fully Bayesian and propagates the joint posterior density of states and parameters over time. In order to…
This paper is concerned with the online estimation of a nonlinear dynamic system from a series of noisy measurements. The focus is on cases wherein outliers are present in-between normal noises. We assume that the outliers follow an unknown…
A recursive state estimation procedure is derived for a linear time varying system with both parametric uncertainties and stochastic measurement droppings. This estimator has a similar form as that of the Kalman filter with intermittent…
Parametric filters, such as the Extended Kalman Filter and the Unscented Kalman Filter, typically scale well with the dimensionality of the problem, but they are known to fail if the posterior state distribution cannot be closely…
State estimation is a fundamental problem in control and signal processing, for which the Kalman Filter provides an optimal solution under linear dynamics, Gaussian noise, and known noise covariances. However, these assumptions often fail…
State estimation of dynamical systems from noisy observations is a fundamental task in many applications. It is commonly addressed using the linear Kalman filter (KF), whose performance can significantly degrade in the presence of outliers…
A hybrid particle ensemble Kalman filter is developed for problems with medium non-Gaussianity, i.e. problems where the prior is very non-Gaussian but the posterior is approximately Gaussian. Such situations arise, e.g., when nonlinear…
UltimateKalman is a flexible linear Kalman filter and smoother implemented in three popular programming languages: MATLAB, C, and Java. UltimateKalman is a slight simplification and slight generalization of an elegant Kalman filter and…
The filtering distribution captures the statistics of the state of a dynamical system from partial and noisy observations. Classical particle filters provably approximate this distribution in quite general settings; however they behave…
The Kalman filter (KF) is a widely-used algorithm for tracking the latent state of a dynamical system from noisy observations. For systems that are well-described by linear Gaussian state space models, the KF minimizes the mean-squared…
This paper develops a robust extended Kalman filter to estimate the rotor angles and the rotor speeds of synchronous generators of a multimachine power system. Using a batch-mode regression form, the filter processes together predicted…
Optimal decision-making under partial observability requires reasoning about the uncertainty of the environment's hidden state. However, most reinforcement learning architectures handle partial observability with sequence models that have…
Many systems for which compressive sensing is used today are dynamical. The common approach is to neglect the dynamics and see the problem as a sequence of independent problems. This approach has two disadvantages. Firstly, the temporal…
In this paper, we propose a robust Kalman filtering framework for systems with probabilistic uncertainty in system parameters. We consider two cases, namely discrete time systems, and continuous time systems with discrete measurements. The…
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…
Despite the cheap availability of computing resources enabling faster Monte Carlo simulations, the potential benefits of particle filtering in revealing accurate statistical information on the imprecisely known model parameters or modeling…
This paper presents a novel Wasserstein distributionally robust control and state estimation algorithm for partially observable linear stochastic systems, where the probability distributions of disturbances and measurement noises are…
This paper presents a novel filter with low computational demand to address the problem of orientation estimation of a robotic platform. This is conventionally addressed by extended Kalman filtering of measurements from a sensor suit which…
We address object tracking by radar and the robustness of the current state-of-the-art methods to process outliers. The standard tracking algorithms extract detections from radar image space to use it in the filtering stage. Filtering is…