Related papers: Iterated Filters for Nonlinear Transition Models

Latent variable models have become instrumental in computational neuroscience for reasoning about neural computation. This has fostered the development of powerful offline algorithms for extracting latent neural trajectories from neural…

In simulations of fluid motion time accuracy has proven to be elusive. We seek highly accurate methods with strong enough stability properties to deal with the richness of scales of many flows. These methods must also be easy to implement…

In the analysis of real-world data, extracting meaningful features from signals is a crucial task. This is particularly challenging when signals contain non-stationary frequency components. The Iterative Filtering (IF) method has proven to…

It has been proposed that classical filtering methods, like the Kalman filter and 3DVAR, can be used to solve linear statistical inverse problems. In the work of Iglesias, Lin, Lu, & Stuart (2017), error estimates were obtained for this…

The Kalman filter has been adopted in acoustic echo cancellation due to its robustness to double-talk, fast convergence, and good steady-state performance. The performance of Kalman filter is closely related to the estimation accuracy of…

This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter,…

Accurate state estimation of nonlinear dynamical systems is fundamental to modern aerospace operations across air, sea, and space domains. Online tracking of adversarial unmanned aerial vehicles (UAVs) is especially challenging due to agile…

In many applications of state estimation, the process noise is colored; this case is addressed by applying the standard Kalman filter (KF) to dynamics that are augmented with the coloring dynamics. The present paper considers the case where…

The unscented Kalman filter (UKF) is a commonly used algorithm capable of estimating the states of nonlinear dynamic systems. It carefully chooses a set of sample points, called sigma points that capture the nonlinear system states…

State estimation of dynamical systems from noisy observations is a fundamental task in many applications. It is commonly addressed using the linear Kalman filter (KF), whose performance can significantly degrade in the presence of outliers…

Nonstationary and nonlinear signals are ubiquitous in real life. Their decomposition and analysis is an important topic of research in signal processing. Recently a new technique, called Iterative Filtering, has been developed with the goal…

We present the Koopman-Inspired Learned Observations Extended Kalman Filter (KILO-EKF), which combines a standard EKF prediction step with a correction step based on a Koopman-inspired measurement model learned from data. By lifting…

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…

We introduce a new multilevel ensemble Kalman filter method (MLEnKF) which consists of a hierarchy of independent samples of ensemble Kalman filters (EnKF). This new MLEnKF method is fundamentally different from the preexisting method…

Legged robots require knowledge of pose and velocity in order to maintain stability and execute walking paths. Current solutions either rely on vision data, which is susceptible to environmental and lighting conditions, or fusion of…

This letter proposes a reactive navigation strategy for recovering the altitude, translational velocity and orientation of Micro Aerial Vehicles. The main contribution lies in the direct and tight fusion of Inertial Measurement Unit (IMU)…

The Ensemble Kalman filter (EnKF) was introduced by Evensen in 1994 [10] as a novel method for data assimilation: state estimation for noisily observed time-dependent problems. Since that time it has had enormous impact in many application…

The particle filter (PF) and the ensemble Kalman filter (EnKF) are widely used for approximate inference in state-space models. From a Bayesian perspective, these algorithms represent the prior by an ensemble of particles and update it to…

Conventional Kalman filtering (KF) approaches exhibit significant limitations in addressing nonlinear state estimation problems contaminated by non-Gaussian noise disturbances. To overcome these challenges, this work proposes a robust…

Kalman Filter (KF) is an optimal linear state prediction algorithm, with applications in fields as diverse as engineering, economics, robotics, and space exploration. Here, we develop an extension of the KF, called a Pathspace Kalman Filter…