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In this paper, we present an optimal filter for linear time-varying continuous-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense. We first show that the unknown inputs…
Locating a target is key in many applications, namely in high-stakes real-world scenarios, like detecting humans or obstacles in vehicular networks. In scenarios where precise statistics of the measurement noise are unavailable,…
This article studies two problems related to observability and efficient constrained sensor placement in linear time-invariant discrete-time systems with partial state observations. (i) We impose the condition that both the set of outputs…
State estimation is required whenever we deal with high-dimensional dynamical systems, as the complete measurement is often unavailable. It is key to gaining insight, performing control or optimizing design tasks. Most deep learning-based…
Power systems are highly complex, large-scale engineering systems subject to many uncertainties, which makes accurate mathematical modeling challenging. This paper proposes a novel, centralized dynamic state estimator for power systems that…
One of the most prominent methods for uncertainty quantification in high-dimen-sional statistics is the desparsified LASSO that relies on unconstrained $\ell_1$-minimization. The majority of initial works focused on real (sub-)Gaussian…
We consider a setting, where the output of a linear dynamical system (LDS) is, with an unknown but fixed probability, replaced by noise. There, we present a robust method for the prediction of the outputs of the LDS and identification of…
State estimation or filtering serves as a fundamental task to enable intelligent decision-making in applications such as autonomous vehicles, robotics, healthcare monitoring, smart grids, intelligent transportation, and predictive…
This paper describes recursive algorithms for state estimation of linear dynamical systems when measurements are noisy with unknown bias and/or outliers. For situations with noisy and biased measurements, algorithms are proposed that…
We consider sparsity-based techniques for the approximation of high-dimensional functions from random pointwise evaluations. To date, almost all the works published in this field contain some a priori assumptions about the error corrupting…
We analyze the performance of the least absolute shrinkage and selection operator (Lasso) for the linear model when the number of regressors $N$ grows larger keeping the true support size $d$ finite, i.e., the ultra-sparse case. The result…
We consider the problem of estimating an unknown signal $x_0$ from noisy linear observations $y = Ax_0 + z\in R^m$. In many practical instances, $x_0$ has a certain structure that can be captured by a structure inducing convex function…
Noiseless compressive sensing is a two-steps setting that allows for undersampling a sparse signal and then reconstructing it without loss of information. The LASSO algorithm, based on $\lone$ regularization, provides an efficient and…
Penalized logistic regression is extremely useful for binary classification with large number of covariates (higher than the sample size), having several real life applications, including genomic disease classification. However, the…
We consider continuous-time sparse stochastic processes from which we have only a finite number of noisy/noiseless samples. Our goal is to estimate the noiseless samples (denoising) and the signal in-between (interpolation problem). By…
Sparse identification of nonlinear dynamics (SINDy) has been widely used to discover the governing equations of a dynamical system from data. It uses sparse regression techniques to identify parsimonious models of unknown systems from a…
We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…
This paper investigates the state estimation problem for a class of complex networks, in which the dynamics of each node is subject to Gaussian noise, system uncertainties and nonlinearities. Based on a regularized least-squares approach,…
Additive asynchronous and cyclostationary impulsive noise limits communication performance in OFDM powerline communication (PLC) systems. Conventional OFDM receivers assume additive white Gaussian noise and hence experience degradation in…
We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of…