Related papers: A low-rank ensemble Kalman filter for elliptic obs…
The extended Kalman filter (EKF) has been the industry standard for state estimation problems over the past sixty years. The Invariant Extended Kalman Filter (IEKF) is a recent development of the EKF for the class of group-affine systems on…
We propose a robust ensemble filtering scheme based on the $H_{\infty}$ filtering theory. The optimal $H_{\infty}$ filter is derived by minimizing the supremum (or maximum) of a predefined cost function, a criterion different from the…
We consider the problem of filtering dynamical systems, possibly stochastic, using observations of statistics. Thus, the computational task is to estimate a time-evolving density $\rho(v, t)$ given noisy observations of the true density…
This paper addresses the challenges in learning-based monocular positioning by proposing VKFPos, a novel approach that integrates Absolute Pose Regression (APR) and Relative Pose Regression (RPR) via an Extended Kalman Filter (EKF) within a…
The Kalman filter (KF) is a widely-used algorithm for tracking dynamic systems that are captured by state space (SS) models. The need to fully describe a SS model limits its applicability under complex settings, e.g., when tracking based on…
The kinematics of many control systems, especially in the robotics field, naturally live on smooth manifolds. Most classical state-estimation algorithms, including the extended Kalman filter, are posed on Euclidean space. Although any…
Tracking algorithms such as the Kalman filter aim to improve inference performance by leveraging the temporal dynamics in streaming observations. However, the tracking regularizers are often based on the $\ell_p$-norm which cannot account…
Geoscientific applications of ensemble Kalman filters face several computational challenges arising from the high dimensionality of the forecast covariance matrix, particularly when this matrix incorporates localization. For square-root…
In this article we propose and develop a new methodology which is inspired from Kalman filtering and multilevel Monte Carlo (MLMC), entitle the multilevel localized ensemble Kalman--Bucy Filter (MLLEnKBF). Based on the work of Chada et al.…
Data assimilation is concerned with sequentially estimating a temporally-evolving state. This task, which arises in a wide range of scientific and engineering applications, is particularly challenging when the state is high-dimensional and…
In a recent methodological paper, we showed how to learn chaotic dynamics along with the state trajectory from sequentially acquired observations, using local ensemble Kalman filters. Here, we more systematically investigate the possibility…
Autonomous surface vessels (ASVs) are increasingly vital for marine science, offering robust platforms for underwater mapping and inspection. Accurate state estimation, particularly of vehicle pose, is paramount for precise seafloor…
We present an innovative interpretation of Kalman Filter (KF, for short) combining the ideas of Schwarz Domain Decomposition (DD) and Parallel in Time (PinT) approaches. Thereafter we call it DD-KF. In contrast to standard DD approaches…
While many works exploiting an existing Lie group structure have been proposed for state estimation, in particular the Invariant Extended Kalman Filter (IEKF), few papers address the construction of a group structure that allows casting a…
Data-driven modelling techniques provide a method for deriving models of dynamical systems directly from complicated data streams. However, tracking and forecasting such data streams poses a significant challenge to most methods, as they…
In this article we consider the application of multilevel Monte Carlo, for the estimation of normalizing constants. In particular we will make use of the filtering algorithm, the ensemble Kalman-Bucy filter (EnKBF), which is an N-particle…
This manuscript derives locally weighted ensemble Kalman methods from the point of view of ensemble-based function approximation. This is done by using pointwise evaluations to build up a local linear or quadratic approximation of a…
Counter-adversarial system design problems have lately motivated the development of inverse Bayesian filters. For example, inverse Kalman filter (I-KF) has been recently formulated to estimate the adversary's Kalman-filter-tracked estimates…
Data assimilation provides algorithms for widespread applications in various fields. It is of practical use to deal with a large amount of information in the complex system that is hard to estimate. Weather forecasting is one of the…
Maintaining consistent uncertainty estimates in localization systems is crucial as the perceived uncertainty commonly affects high-level system components, such as control or decision processes. A method for constructing an…