Related papers: Stochastic Event-triggered Variational Bayesian Fi…

Variational Bayes (VB) has been used to facilitate the calculation of the posterior distribution in the context of Bayesian inference of the parameters of nonlinear models from data. Previously an analytical formulation of VB has been…

This paper considers the state estimation problem for discrete-time linear systems under event-triggered scheme. In order to improve performance, a novel event-triggered scheme based on confidence level is proposed using the chi-square…

This technical report provides the description and the derivation of a novel nonlinear unknown input and state estimation algorithm (NUISE) for mobile robots. The algorithm is designed for real-world robots with nonlinear dynamic models and…

We propose a scalable variational Bayes method for statistical inference for a single or low-dimensional subset of the coordinates of a high-dimensional parameter in sparse linear regression. Our approach relies on assigning a mean-field…

Data assimilation refers to a set of algorithms designed to compute the optimal estimate of a system's state by refining the prior prediction (known as background states) using observed data. Variational assimilation methods rely on the…

We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…

We consider the problem of estimating a variable number of parameters with a dynamic nature. A familiar example is finding the position of moving targets using sensor array observations. The problem is challenging in cases where either the…

Filtering and smoothing algorithms for linear discrete-time state-space models with skewed and heavy-tailed measurement noise are presented. The algorithms use a variational Bayes approximation of the posterior distribution of models that…

This paper considers the problem of computing Bayesian estimates of both states and model parameters for nonlinear state-space models. Generally, this problem does not have a tractable solution and approximations must be utilised. In this…

Distributed state estimation strongly depends on collaborative signal processing, which often requires excessive communication and computation to be executed on resource-constrained sensor nodes. To address this problem, we propose an…

In this manuscript, we propose to use a variational autoencoder-based framework for parameterizing a conditional linear minimum mean squared error estimator. The variational autoencoder models the underlying unknown data distribution as…

In this paper we focus on the parameter estimation of dynamic load models with stochastic terms, in particular, load models where protection settings are uncertain, such as in aggregated air conditioning units. We show how the uncertainty…

Can noise be beneficial to machine-learning prediction of chaotic systems? Utilizing reservoir computers as a paradigm, we find that injecting noise to the training data can induce a stochastic resonance with significant benefits to both…

We propose a nonparametric Bayesian probabilistic latent variable model for multi-view anomaly detection, which is the task of finding instances that have inconsistent views. With the proposed model, all views of a non-anomalous instance…

For many nonlinear Bayesian state estimation problems, the posterior recursion is not analytically tractable, leading to algorithms that are influenced by numerical approximation errors. These algorithms depend on parameters that affect the…

In this paper, we derive a novel procedure for set-membership estimation of dynamical systems affected by stochastic noise with unbounded support. Employing a bound on the sample covariance matrix, we are able to provide a finite- sample…

Objective: Mixtures of temporally nonstationary signals are very common in biomedical applications. The nonstationarity of the source signals can be used as a discriminative property for signal separation. Herein, a semi-blind source…

Bayesian inference applied to microseismic activity monitoring allows the accurate location of microseismic events from recorded seismograms and the estimation of the associated uncertainties. However, the forward modelling of these…

Bayesian filtering serves as the mainstream framework of state estimation in dynamic systems. Its standard version utilizes total probability rule and Bayes' law alternatively, where how to define and compute conditional probability is…

The state estimation problem for nonlinear systems with stochastic uncertainties can be formulated in the Bayesian framework, where the objective is to replace the state completely by its probability density function. Without the…