Related papers: On the optimality of Kalman Filter for Fault Detec…
In robotics, designing robust algorithms in the face of estimation uncertainty is a challenging task. Indeed, controllers often do not consider the estimation uncertainty and only rely on the most likely estimated state. Consequently,…
The possible methodologies to handle the uncertain parameter are reviewed. The core idea of the desensitized Kalman filter is introduced. A new cost function consisting of a posterior covariance trace and trace of a weighted norm of the…
Have you ever felt miserable because of a sudden whipsaw in the price that triggered an unfortunate trade? In an attempt to remove this noise, technical analysts have used various types of moving averages (simple, exponential, adaptive one…
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…
We are experiencing an explosion in the amount of sensors measuring our activities and the world around us. These sensors are spread throughout the built environment and can help us perform state estimation and control of related systems,…
We develop data-driven algorithms to fully automate sensor fault detection in systems governed by underlying physics. The proposed machine learning method uses a time series of typical behavior to approximate the evolution of measurements…
A recently developed data-driven Kalman filter requires offline measurement of the process disturbance; a requirement that is often unmet for many practical applications. We propose a solution that parametrizes the Kalman filter exclusively…
The unscented Kalman filter is an algorithm capable of handling nonlinear scenarios. Uncertainty in process noise covariance may decrease the filter estimation performance or even lead to its divergence. Therefore, it is important to adjust…
We study the problem of optimal estimation and control of linear systems using quantized measurements, with a focus on applications over sensor networks. We show that the state conditioned on a causal quantization of the measurements can be…
There is a growing interest in using Kalman-filter models in brain modelling. In turn, it is of considerable importance to make Kalman-filters amenable for reinforcement learning. In the usual formulation of optimal control it is computed…
Optimization is often cast as a deterministic problem, where the solution is found through some iterative procedure such as gradient descent. However, when training neural networks the loss function changes over (iteration) time due to the…
Despite the widespread usage of discrete generation Ensemble Kalman particle filtering methodology to solve nonlinear and high dimensional filtering and inverse problems, little is known about their mathematical foundations. As genetic-type…
The Kalman filter is the most powerful tool for estimation of the states of a linear Gaussian system. In addition, using this method, an expectation maximization algorithm can be used to estimate the parameters of the model. However, this…
The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of…
We study the phenomenon of loss of lock in the optimal non-causal phase estimation problem, a benchmark problem in nonlinear estimation. Our method is based on the computation of the asymptotic distribution of the optimal estimation error…
The Kalman filter is ubiquitous for state space models because of its desirable statistical properties, ease of implementation, and generally good performance. However, it can perform poorly in the presence of outliers, or measurements with…
The Kalman filter (KF) is used in a variety of applications for computing the posterior distribution of latent states in a state space model. The model requires a linear relationship between states and observations. Extensions to the Kalman…
Stability analysis of the Kalman filter under randomly lost measurements has been widely studied. We revisit this problem in a general continuous-time framework, where both the measurement matrix and noise covariance evolve as random…
Kalman Filter requires the true parameters of the model and solves optimal state estimation recursively. Expectation Maximization (EM) algorithm is applicable for estimating the parameters of the model that are not available before Kalman…
A recursive state estimation procedure is derived for a linear time varying system with both parametric uncertainties and stochastic measurement droppings. This estimator has a similar form as that of the Kalman filter with intermittent…