Related papers: Kalman Filtering with Adversarial Corruptions

The optimal predictor for a linear dynamical system (with hidden state and Gaussian noise) takes the form of an autoregressive linear filter, namely the Kalman filter. However, a fundamental problem in reinforcement learning and control…

The Kalman filter combines forecasts and new observations to obtain an estimation which is optimal in the sense of a minimum average quadratic error. The Kalman filter has two main restrictions: (i) the dynamical system is assumed linear…

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…

We consider the problem of robust estimation involving filtering and smoothing for nonlinear state space models which are disturbed by heavy-tailed impulsive noises. To deal with heavy-tailed noises and improve the robustness of the…

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…

Disturbance observers have been attracting continuing research efforts and are widely used in many applications. Among them, the Kalman filter-based disturbance observer is an attractive one since it estimates both the state and the…

The Kalman filter is a fundamental filtering algorithm that fuses noisy sensory data, a previous state estimate, and a dynamics model to produce a principled estimate of the current state. It assumes, and is optimal for, linear models and…

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…

State estimation in stochastic dynamical systems with noisy measurements is a challenge. While the Kalman filter is optimal for linear systems with independent Gaussian white noise, real-world conditions often deviate from these…

In this paper, state and noise covariance estimation problems for linear system with unknown multiplicative noise are considered. The measurement likelihood is modelled as a mixture of two Gaussian distributions and a Student's t…

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.…

Real-world measurement noise in applications like robotics is often correlated in time, but we typically assume i.i.d. Gaussian noise for filtering. We propose general Gaussian Processes as a non-parametric model for correlated measurement…

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…

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…

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…

In this paper, we propose an approach to address the problems with ambiguity in tuning the process and observation noises for a discrete-time linear Kalman filter. Conventional approaches to tuning (e.g. using normalized estimation error…

We propose a new recursive estimator for linear dynamical systems under Gaussian process noise and non-Gaussian measurement noise. Specifically, we develop an approximate maximum a posteriori (MAP) estimator using dynamic programming and…

Traditional statements of the celebrated Kalman filter algorithm focus on the estimation of state, but not the output. For any outputs, measured or auxiliary, it is usually assumed that the posterior state estimates and known inputs are…

We consider the problem of randomly choosing the sensors of a linear time-invariant dynamical system subject to process and measurement noise. We sample the sensors independently and from the same distribution. We measure the performance of…

Impulsed noise outliers are data points that differs significantly from other observations.They are generally removed from the data set through local regression or Kalman filter algorithm.However, these methods, or their generalizations,…