Related papers: Bayesian filtering for nonlinear stochastic system…

This paper proposes a probabilistic Bayesian formulation for system identification (ID) and estimation of nonseparable Hamiltonian systems using stochastic dynamic models. Nonseparable Hamiltonian systems arise in models from diverse…

System identification is of special interest in science and engineering. This article is concerned with a system identification problem arising in stochastic dynamic systems, where the aim is to estimate the parameters of a system along…

We classify two types of Hierarchical Bayesian Model found in the literature as Hierarchical Prior Model (HPM) and Hierarchical Stochastic Model (HSM). Then, we focus on studying the theoretical implications of the HSM. Using examples of…

An incremental/online state dynamic learning method is proposed for identification of the nonlinear Gaussian state space models. The method embeds the stochastic variational sparse Gaussian process as the probabilistic state dynamic model…

Bayesian estimation is a vital tool in robotics as it allows systems to update the robot state belief using incomplete information from noisy sensors. To render the state estimation problem tractable, many systems assume that the motion and…

Bayesian estimation strategies represent the most fundamental formulation of the state estimation problem available, and apply readily to nonlinear systems with non-Gaussian uncertainties. The present paper introduces a novel method for…

Gaussian process state-space models (GP-SSMs) are a very flexible family of models of nonlinear dynamical systems. They comprise a Bayesian nonparametric representation of the dynamics of the system and additional (hyper-)parameters…

Real-time nonlinear Bayesian filtering algorithms are overwhelmed by data volume, velocity and increasing complexity of computational models. In this paper, we propose a novel ensemble based nonlinear Bayesian filtering approach which only…

Bayesian filtering for high-dimensional nonlinear stochastic dynamical systems is a fundamental yet challenging problem in many fields of science and engineering. Existing methods face significant obstacles: Gaussian-based filters struggle…

In this letter, a new filtering technique to solve a nonlinear state estimation problem has been developed. It is well known that for a nonlinear system, the prior and posterior probability density functions (pdf) are non-Gaussian in…

This article addresses the problem of efficient Bayesian inference in dynamic systems using particle methods and makes a number of contributions. First, we develop a correlated pseudo-marginal (CPM) approach for Bayesian inference in state…

In this article, an overview of Bayesian methods for sequential simulation from posterior distributions of nonlinear and non-Gaussian dynamic systems is presented. The focus is mainly laid on sequential Monte Carlo methods, which are based…

We introduce a new sequential methodology to calibrate the fixed parameters and track the stochastic dynamical variables of a state-space system. The proposed method is based on the nested hybrid filtering (NHF) framework of [1], that…

Non-Gaussian Bayesian filtering is a core problem in stochastic filtering. The difficulty of the problem lies in parameterizing the state estimates. However the existing methods are not able to treat it well. We propose to use power moments…

We propose a principled algorithm for robust Bayesian filtering and smoothing in nonlinear stochastic dynamic systems when both the transition function and the measurement function are described by non-parametric Gaussian process (GP)…

This work studies networked agents cooperating to track a dynamical state of nature under partial information. The proposed algorithm is a distributed Bayesian filtering algorithm for finite-state hidden Markov models (HMMs). It can be used…

This paper considers homography estimation in a Bayesian filtering framework using rate gyro and camera measurements. The use of rate gyro measurements facilitates a more reliable estimate of homography in the presence of occlusions, while…

This paper presents a structure-preserving Bayesian approach for learning nonseparable Hamiltonian systems using stochastic dynamic models allowing for statistically-dependent, vector-valued additive and multiplicative measurement noise.…

The holonomic gradient method gives an algorithm to efficiently and accurately evaluate normalizing constants and their derivatives. We apply the holonomic gradient method in the case of the conditional Poisson or multinomial distribution…

This article presents an up-to-date tutorial review of nonlinear Bayesian estimation. State estimation for nonlinear systems has been a challenge encountered in a wide range of engineering fields, attracting decades of research effort. To…