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Partially observable Markov decision processes (POMDPs) provide an elegant mathematical framework for modeling complex decision and planning problems in stochastic domains in which states of the system are observable only indirectly, via a…
We investigate the performance of a class of particle filters (PFs) that can automatically tune their computational complexity by evaluating online certain predictive statistics which are invariant for a broad class of state-space models.…
Accurate modeling and prediction of complex physical systems often rely on data assimilation techniques to correct errors inherent in model simulations. Traditional methods like the Ensemble Kalman Filter (EnKF) and its variants as well as…
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…
We introduce a score-filter-enhanced data assimilation framework designed to reduce predictive uncertainty in machine learning (ML) models for data-driven dynamical system forecasting. Machine learning serves as an efficient numerical model…
Most nonlinear filters used in spacecraft navigation are based on a linear approximation of the optimal minimum mean square error estimator. The Unscented Kalman Filter (UKF) handles nonlinear dynamics through a sigma-point transform, but…
We consider the discrete-time filtering problem in scenarios where the observation noise is low or degenerate. We focus on the case where the observation equation is a linear function of the state and the data involve additive noise.…
For consensus on measurement-based distributed filtering (CMDF), through infinite consensus fusion operations during each sampling interval, each node in the sensor network can achieve optimal filtering performance with centralized…
In this paper, we present a UKF-PF based hybrid nonlinear filter for space object tracking. Estimating the state and its associated uncertainty, also known as filtering is paramount to the tracking process. The periodicity of the Keplerian…
We develop a fast algorithm for Kalman Filter applied to the random walk forecast model. The key idea is an efficient representation of the estimate covariance matrix at each time-step as a weighted sum of two contributions - the process…
Learning-based methods commonly treat state estimation in robotics as a sequence modeling problem. While this paradigm can be effective at maximizing end-to-end performance, models are often difficult to interpret and expensive to train,…
Kalman filter-based algorithms are fundamental for mobile robots, as they provide a computationally efficient solution to the challenging problem of state estimation. However, they rely on two main assumptions that are difficult to satisfy…
The kinematics of many systems encountered in robotics, mechatronics, and avionics are naturally posed on homogeneous spaces; that is, their state lies in a smooth manifold equipped with a transitive Lie group symmetry. This paper proposes…
This paper presents a novel data-driven, direct filtering approach for unknown linear time-invariant systems affected by unknown-but-bounded measurement noise. The proposed technique combines independent multistep prediction models,…
Estimating the state of a dynamical system from partial and noisy observations is a ubiquitous problem in a large number of applications, such as probabilistic weather forecasting and prediction of epidemics. Particle filters are a widely…
This paper investigates the performance of the adaptive matched filtering (AMF) in cluttered environments, particularly when operating with superimposed signals. Since the instantaneous signal-to-clutter-plus-noise ratio (SCNR) is a random…
The conditional particle filter (CPF) is a promising algorithm for general hidden Markov model smoothing. Empirical evidence suggests that the variant of CPF with backward sampling (CBPF) performs well even with long time series. Previous…
Partially-observed Boolean dynamical systems (POBDS) are a general class of nonlinear models with application in estimation and control of Boolean processes based on noisy and incomplete measurements. The optimal minimum mean square error…
This paper investigates the problem of inertial navigation system (INS) filter design through the lens of symmetry. The extended Kalman filter (EKF) and its variants have been the staple of INS filtering for 50 years. However, recent…
Spatio-Temporal Multivariate time series Forecast (STMF) uses the time series of $n$ spatially distributed variables in a period of recent past to forecast their values in a period of near future. It has important applications in…