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The ensemble Kalman filter (EnKF) is a widely used methodology for state estimation in partial, noisily observed dynamical systems, and for parameter estimation in inverse problems. Despite its widespread use in the geophysical sciences,…

Contemporary data assimilation often involves more than a million prediction variables. Ensemble Kalman filters (EnKF) have been developed by geoscientists. They are successful indispensable tools in science and engineering, because they…

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…

In counter-adversarial systems, to infer the strategy of an intelligent adversarial agent, the defender agent needs to cognitively sense the information that the adversary has gathered about the latter. Prior works on the problem employ…

This paper introduces a novel state estimation framework for robots using differentiable ensemble Kalman filters (DEnKF). DEnKF is a reformulation of the traditional ensemble Kalman filter that employs stochastic neural networks to model…

Modelling the dynamics of interactions in a neuronal ensemble is an important problem in functional connectivity research. One popular framework is latent factor models (LFMs), which have achieved notable success in decoding neuronal…

In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…

We study the ensemble Kalman filter (EnKF) algorithm for sequential data assimilation in a general situation, that is, for nonlinear forecast and measurement models with non-additive and non-Gaussian noises. Such applications traditionally…

The Extended Kalman Filter (EKF) is both the historical algorithm for multi-sensor fusion and still state of the art in numerous industrial applications. However, it may prove inconsistent in the presence of unobservability under a group of…

In the classical Kalman filter(KF), the estimated state is a linear combination of the one-step predicted state and measurement state, their confidence level change when the prediction mean square error matrix and covariance matrix of…

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…

We propose a method for inference on moderately high-dimensional, nonlinear, non-Gaussian, partially observed Markov process models for which the transition density is not analytically tractable. Markov processes with intractable transition…

In this paper, we consider the task of designing a Kalman Filter (KF) for an unknown and partially observed autonomous linear time invariant system driven by process and sensor noise. To do so, we propose studying the following two step…

Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in many cases. However, this filters only…

We have analyzed the synchronization of a small-world network of chaotic Rulkov neurons with an electrical coupling that contains a delay. We have developed an algorithm to compute a certain delay whose result is to improve the…

In this paper, a distributed Kalman filtering (DKF) algorithm is proposed based on a diffusion strategy, which is used to track an unknown signal process in sensor networks cooperatively. Unlike the centralized algorithms, no fusion center…

The Unscented Transform which is the basis of the Unscented Kalman Filter, UKF, is used here to develop a novel predictive controller for non-linear plants, called the Unscented Transform Controller, UTC. The UTC can be seen as the dual of…

We generalize our recent approach to reconstruction of phase dynamics of coupled oscillators from data [B. Kralemann et al., Phys. Rev. E, 77, 066205 (2008)] to cover the case of small networks of coupled periodic units. Starting from the…

This paper investigates the distributed Kalman filter (DKF) for linear systems, with specific attention on measurement fusion, which is a typical way of information sharing and is vital for enhancing stability and improving estimation…

The use of Kalman filtering, as well as its nonlinear extensions, for the estimation of system variables and parameters has played a pivotal role in many fields of scientific inquiry where observations of the system are restricted to a…