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The ensemble Kalman filter (EnKF) is a method for combining a dynamical model with data in a sequential fashion. Despite its widespread use, there has been little analysis of its theoretical properties. Many of the algorithmic innovations…

Probability · Mathematics 2015-06-17 D. T. B. Kelly , K. J. H. Law , A. M. Stuart

This paper tackles the intricate task of jointly estimating state and parameters in data assimilation for stochastic dynamical systems that are affected by noise and observed only partially. While the concept of ``optimal filtering'' serves…

Optimization and Control · Mathematics 2023-12-19 Feng Bao , Guannan Zhang , Zezhong Zhang

In this paper, we propose and develop a methodology for nonlinear systems health monitoring by modeling the damage and degradation mechanism dynamics as "slow" states that are augmented with the system "fast" dynamical states. This…

Systems and Control · Computer Science 2017-10-17 Najmeh Daroogheh , Nader Meskin , Khashayar Khorasani

In this article, a robust ensemble Kalman filter (EnKF) called MC-EnKF is proposed for nonlinear state-space model to deal with filtering problems with non-Gaussian observation noises. Our MC-EnKF is derived based on maximum correntropy…

Systems and Control · Electrical Eng. & Systems 2023-08-21 Yangtianze Tao , Jiayi Kang , Stephen Shing-Toung Yau

Electrocardiography (ECG) signals are frequently degraded by noise, limiting their clinical reliability in both conventional and wearable settings. Existing methods for addressing ECG noise, relying on artifact classification or denoising,…

Signal Processing · Electrical Eng. & Systems 2025-07-23 Tae-Seong Han , Jae-Wook Heo , Hakseung Kim , Cheol-Hui Lee , Hyub Huh , Eue-Keun Choi , Hye Jin Kim , Dong-Joo Kim

Analysis of intra-atrial electrograms (EGMs) nowadays constitutes the most common way to gain new insights about the mechanisms triggering and maintaining atrial fibrillation (AF). However, these recordings are highly contaminated by…

Signal Processing · Electrical Eng. & Systems 2024-01-22 Miguel Martinez-Iniesta , Juan Rodenas , Jose J. Rieta , Raul Alcaraz

The iterative ensemble Kalman filter (IEnKF) in a deterministic framework was introduced in Sakov et al. (2012) to extend the ensemble Kalman filter (EnKF) and improve its performance in mildly up to strongly nonlinear cases. However, the…

Atmospheric and Oceanic Physics · Physics 2018-10-17 Pavel Sakov , Jean-Matthieu Haussaire , Marc Bocquet

Evaluating canine electrocardiograms (ECGs) is challenging due to noise that can obscure clinically relevant cardiac electrical activity. Common sources of interference include respiration, muscle activity, poor lead contact, and external…

Machine Learning · Computer Science 2026-05-19 Jeff Breeding-Allison , Emil Walleser

The ensemble Kalman filter (EnKF) is widely used for nonlinear and high-dimensional state estimation because it replaces complex covariance propagation with simple ensemble statistics. However, conventional EnKF implementations can become…

Systems and Control · Electrical Eng. & Systems 2026-04-21 Shida Jiang , Shengyu Tao , Zihe Liu , Scott Moura

This paper develops an efficient implementation of the ensemble Kalman filter based on a modified Cholesky decomposition for inverse covariance matrix estimation. This implementation is named EnKF-MC. Background errors corresponding to…

Statistics Theory · Mathematics 2016-05-31 Elias D. Nino , Adrian Sandu , Xinwei Deng

We propose an ECG denoising method based on a feed forward neural network with three hidden layers. Particulary useful for very noisy signals, this approach uses the available ECG channels to reconstruct a noisy channel. We tested the…

Computational Engineering, Finance, and Science · Computer Science 2012-12-21 Rui Rodrigues , Paula Couto

Ensemble methods such as the Ensemble Kalman Filter (EnKF) are widely used for data assimilation in large-scale geophysical applications, as for example in numerical weather prediction (NWP). There is a growing interest for physical models…

Applications · Statistics 2018-08-01 Sylvain Robert , Hans R. Künsch

Several variations of the Kalman filter algorithm, such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), are widely used in science and engineering applications. In this paper, we introduce two algorithms of…

Optimization and Control · Mathematics 2018-10-11 Wei Kang , Liang Xu

In this study, we address the challenges associated with accurately determining gaze location on a screen, which is often compromised by noise from factors such as eye tracker limitations, calibration drift, ambient lighting changes, and…

Numerical Analysis · Mathematics 2025-04-21 Thoa Thieu , Roderick Melnik

Imbalanced electrocardiogram (ECG) data hampers the efficacy and resilience of algorithms in the automated processing and interpretation of cardiovascular diagnostic information, which in turn impedes deep learning-based ECG classification.…

Machine Learning · Computer Science 2026-01-15 Haijian Shao , Wei Liu , Xing Deng , Daze Lu

The Gaussian process state-space models (GPSSMs) represent a versatile class of data-driven nonlinear dynamical system models. However, the presence of numerous latent variables in GPSSM incurs unresolved issues for existing variational…

Machine Learning · Computer Science 2024-07-23 Zhidi Lin , Yiyong Sun , Feng Yin , Alexandre Hoang Thiéry

Objective: Electrocardiogram (ECG) signals commonly suffer noise interference, such as baseline wander. High-quality and high-fidelity reconstruction of the ECG signals is of great significance to diagnosing cardiovascular diseases.…

Signal Processing · Electrical Eng. & Systems 2023-01-19 Huayu Li , Gregory Ditzler , Janet Roveda , Ao Li

The ensemble Kalman filter (EnKF) is a Monte Carlo based implementation of the Kalman filter (KF) for extremely high-dimensional, possibly nonlinear and non-Gaussian state estimation problems. Its ability to handle state dimensions in the…

Methodology · Statistics 2018-02-12 Michael Roth , Gustaf Hendeby , Carsten Fritsche , Fredrik Gustafsson

We propose an ensemble score filter (EnSF) for solving high-dimensional nonlinear filtering problems with superior accuracy. A major drawback of existing filtering methods, e.g., particle filters or ensemble Kalman filters, is the low…

Machine Learning · Statistics 2024-08-14 Feng Bao , Zezhong Zhang , Guannan Zhang

Electrocardiogram (ECG) detection and delineation are key steps for numerous tasks in clinical practice, as ECG is the most performed non-invasive test for assessing cardiac condition. State-of-the-art algorithms employ digital signal…

Machine Learning · Computer Science 2020-05-12 Guillermo Jimenez-Perez , Alejandro Alcaine , Oscar Camara