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Ensemble data assimilation in flood forecasting depends strongly on the density, frequency and statistics of errors associated with the observation network. This work focuses on the assimilation of 2D flood extent data, expressed in terms…

This article examines state estimation in discrete-time nonlinear stochastic systems with finite-dimensional states and infinite-dimensional measurements, motivated by real-world applications such as vision-based localization and tracking.…

In this article, we propose a new filtering algorithm based in the Koopman operator, showing that a nonlinear filtering problem can be seen as an equivalent problem where the dynamics is infinite dimensional, but linear. Using Extended…

A new class of iterated linearization-based nonlinear filters, dubbed dynamically iterated filters, is presented. Contrary to regular iterated filters such as the iterated extended Kalman filter (IEKF), iterated unscented Kalman filter…

Kalman filtering is a powerful approach to adaptive filtering for various problems in signal processing. The frequency-domain adaptive Kalman filter (FDKF), based on the concept of the acoustic state space, provides a unifying solution to…

Typical iterated filters, such as the iterated extended Kalman filter (IEKF), iterated unscented Kalman filter (IUKF), and iterated posterior linearization filter (IPLF), have been developed to improve the linearization point (or density)…

Sequential Bayesian filters in non-linear dynamic systems require the recursive estimation of the predictive and posterior distributions. This paper introduces a Bayesian filter called the adaptive kernel Kalman filter (AKKF). With this…

Aiming to enhance the consistency and thus long-term accuracy of Extended Kalman Filters for terrestrial vehicle localization, this paper introduces the Manifold Error State Extended Kalman Filter (M-ESEKF). By representing the robot's pose…

Accurate and timely prediction of crop growth is of great significance to ensure crop yields and researchers have developed several crop models for the prediction of crop growth. However, there are large difference between the simulation…

Accurately reconstructing and forecasting high-resolution (HR) states from computationally cheap low-resolution (LR) observations is central to estimation-and-control of spatio-temporal PDE systems. We develop a unified superresolution…

In inverse problems, the goal is to estimate unknown model parameters from noisy observational data. Traditionally, inverse problems are solved under the assumption of a fixed forward operator describing the observation model. In this…

Variational inference (VI) combined with Bayesian nonlinear filtering produces state-of-the-art results for latent time-series modeling. A body of recent work has focused on sequential Monte Carlo (SMC) and its variants, e.g., forward…

The proof of convergence of the standard ensemble Kalman filter (EnKF) from Legland etal. (2011) is extended to non-Gaussian state space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed,…

An accurate load forecast is always important for the power industry and energy players as it enables stakeholders to make critical decisions. In addition, its importance is further increased with growing uncertainties in the generation…

Switching Kalman Filters (SKF) are well known for their ability to solve the piecewise linear dynamic system estimation problem using the standard Kalman Filter (KF). Practical SKFs are heuristic, approximate filters that are not guaranteed…

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…

Ensemble Kalman inversion is a parallelizable derivative-free method to solve inverse problems. The method uses an ensemble that follows the Kalman update formula iteratively to solve an optimization problem. The ensemble size is crucial to…

Attitude estimation is crucial in aerospace engineering, robotics, and virtual reality applications, but faces difficulties due to nonlinear system dynamics and sensor limitations. This paper addresses the challenge of attitude estimation…

In recent years, several ensemble-based filtering methods have been proposed and studied. The main challenge in such procedures is the updating of a prior ensemble to a posterior ensemble at every step of the filtering recursions. In the…

We address the problem of observation noise misspecification in Bayesian filtering of dynamical systems via recent advances in generalised Bayesian inference. Mis-match in tail decay between the true data generating process and an assumed…