Related papers: Exact nonlinear state estimation
Data assimilation is a method that combines observations (that is, real world data) of a state of a system with model output for that system in order to improve the estimate of the state of the system and thereby the model output. The model…
State-space models provide an important body of techniques for analyzing time-series, but their use requires estimating unobserved states. The optimal estimate of the state is its conditional expectation given the observation histories, and…
This paper conveys attitude and rate estimation without rate sensors by performing a critical comparison, validated by extensive simulations. The two dominant approaches to facilitate attitude estimation are based on stochastic and…
This paper investigates the state estimation problem for unknown linear systems subject to both process and measurement noise. Based on a prior input-output trajectory sampled at a higher frequency and a prior state trajectory sampled at a…
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…
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…
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…
During the last few years discontinuous Galerkin (DG) methods have received increased interest from the geophysical community. In these methods the solution in each grid cell is approximated as a linear combination of basis functions.…
Digital twins (DTs) rely on continuous synchronization between physical systems and their virtual counterparts through online parameter estimation under uncertainty. In many practical settings, however, this task is challenged by low…
State-space models (SSMs) are a broad class of probabilistic models for dynamical systems with many applications in engineering and science. Bayesian filtering is analytically tractable only in the linear-Gaussian setting, where the Kalman…
Data assimilation is the process of estimating the state of a dynamical system over time by combining model predictions with measurements. This task becomes challenging when the system is nonlinear and high-dimensional. To address this,…
This paper presents the machine learning-based ensemble conditional mean filter (ML-EnCMF) -- a filtering method based on the conditional mean filter (CMF) previously introduced in the literature. The updated mean of the CMF matches that of…
This brief technical note elaborates three well-known state estimators, which are used extensively in practice. These are the rather old-fashioned extended Kalman filter (EKF) and the recently-designed cubature Kalman filtering (CKF) and…
A modification scheme to the ensemble Kalman filter (EnKF) is introduced based on the concept of the unscented transform (Julier et al., 2000; Julier and Uhlmann, 2004), which therefore will be called the ensemble unscented Kalman filter…
Traditional filtering algorithms for state estimation -- such as classical Kalman filtering, unscented Kalman filtering, and particle filters - show performance degradation when applied to nonlinear systems whose uncertainty follows…
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…
Because of physical assumptions and numerical approximations, low-order models are affected by uncertainties in the state and parameters, and by model biases. Model biases, also known as model errors or systematic errors, are difficult to…
Nonlinear extensions of the Kalman filter (KF), such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), are indispensable for state estimation in complex dynamical systems, yet the conditions for a nonlinear KF to…
Coupled data assimilation (CDA) distinctively appears as a main concern in numerical weather and climate prediction with major efforts put forward worldwide. The core issue is the scale separation acting as a barrier that hampers the…
The problem of multisensor multitarget state estimation in the presence of constant but unknown sensor biases is investigated. The classical approach to this problem is to augment the state vector to include the states of all the targets…