Related papers: Kalman Filters on Differentiable Manifolds

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.…

We study the problem of distributed Kalman filtering for sensor networks in the presence of model uncertainty. More precisely, we assume that the actual state-space model belongs to a ball, in the Kullback-Leibler topology, about the…

We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply the original Ensemble Kalman Filter algorithm proposed by…

The Ensemble Kalman Filter method can be used as an iterative particle numerical scheme for state dynamics estimation and control--to--observable identification problems. In applications it may be required to enforce the solution to satisfy…

We introduce cooperative sequential state space estimation in the domain of augmented complex statistics, whereby nodes in a network collaborate locally to estimate noncircular complex signals. For rigour, a distributed augmented (widely…

Panoramic multi-object tracking is important for industrial safety monitoring, wide-area robotic perception, and infrastructure-light deployment in large workspaces. In these settings, the sensing system must provide full-surround coverage,…

Several variations of the Kalman filter algorithm, such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), are widely used in science and engineering applications. In this paper, we introduce two algorithms of…

In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…

Recent research in nonlinear filtering and signal processing has suggested an efficient derivative-free Extended Kalman filter (EKF) designed for discrete-time stochastic systems. Such approach, however, has failed to address the estimation…

We propose a new class of filtering and smoothing methods for inference in high-dimensional, nonlinear, non-Gaussian, spatio-temporal state-space models. The main idea is to combine the ensemble Kalman filter and smoother, developed in the…

This paper introduces an innovative approach to Simultaneous Localization and Mapping (SLAM) using the Unscented Kalman Filter (UKF) in a dynamic environment. The UKF is proven to be a robust estimator and demonstrates lower sensitivity to…

The Kalman filter operates by storing a Gaussian description of the state estimate in the form of a mean and covariance. Instead of storing and manipulating the covariance matrix directly, a square-root Kalman filter only forms and updates…

We formulate the discrete-time inverse optimal control problem of inferring unknown parameters in the objective function of an optimal control problem from measurements of optimal states and controls as a nonlinear filtering problem. This…

In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…

Kalman Filtering problems often have inherent and known constraints in the physical dynamics that are not exploited despite potentially significant gains (e.g., fixed speed of a motor). In this paper, we review existing methods and propose…

LLM watermarking, which embeds imperceptible yet algorithmically detectable signals in model outputs to identify LLM-generated text, has become crucial in mitigating the potential misuse of large language models. However, the abundance of…

Inertial Navigation Systems (INS) are a key technology for autonomous vehicles applications. Recent advances in estimation and filter design for the INS problem have exploited geometry and symmetry to overcome limitations of the classical…

The problem of multisensor multitarget state estimation in the presence of constant but unknown sensor biases is investigated. The classical approach to this problem is to augment the state vector to include the states of all the targets…

The ensemble Kalman filter (EnKF) has become a standard methodology for state estimation in high-dimensional systems, yet its various stochastic and deterministic formulations often appear conceptually disconnected. In this paper, a unified…

Achieving highly accurate dynamic or simulator models that are close to the real robot can facilitate model-based controls (e.g., model predictive control or linear-quadradic regulators), model-based trajectory planning (e.g., trajectory…