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The iterative ensemble Kalman filter (IEnKF) is widely used in inverse problems to estimate system parameters from limited observations. However, the IEnKF, when applied to nonlinear systems, can be plagued by poor convergence. Here we…
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…
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…
Within the domain of Computational Fluid Dynamics, Direct Numerical Simulation (DNS) is used to obtain highly accurate numerical solutions for fluid flows. However, this approach for numerically solving the Navier-Stokes equations is…
Owing to advances in data assimilation, notably Ensemble Kalman Filter (EnKF), flood simulation and forecast capabilities have greatly improved in recent years. The motivation of the research work is to reduce comprehensively the…
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…
EnKF-C provides a compact generic framework for off-line data assimilation into large-scale layered geophysical models with the ensemble Kalman filter (EnKF). It is coded in C for GNU/Linux platform and can work either in EnKF, ensemble…
The Ensemble Kalman Filter (EnKF) is a popular estimation technique in the geosciences. It is used as a numerical tool for state vector prognosis and parameter estimation. The EnKF can, for example, help to evaluate the geothermal potential…
Wireless sensor networks (WSNs) represent a critical research domain within the Internet of Things (IoT) technology. The distributed Kalman filter (DKF) has garnered significant attention as an information fusion method for WSNs. However,…
This paper proposes an $SE_2(3)$ based extended Kalman filtering (EKF) framework for the inertial-integrated state estimation problem. The error representation using the straight difference of two vectors in the inertial navigation system…
We formulate the discrete-time inverse optimal control problem of inferring unknown parameters in the objective function of an optimal control problem from measurements of optimal states and controls as a nonlinear filtering problem. This…
The extended Kalman filter (EKF) is a widely adopted method for sensor fusion in navigation applications. A crucial aspect of the EKF is the online determination of the process noise covariance matrix reflecting the model uncertainty. While…
This paper studies multiplicative inflation: the complementary scaling of the state covariance in the ensemble Kalman filter (EnKF). Firstly, error sources in the EnKF are catalogued and discussed in relation to inflation; nonlinearity is…
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,…
The Kalman filter (KF) and its variants are among the most celebrated algorithms in signal processing. These methods are used for state estimation of dynamic systems by relying on mathematical representations in the form of simple…
Extended Kalman Filtering (EKF) can be used to propagate and quantify input uncertainty through a Deep Neural Network (DNN) assuming mild hypotheses on the input distribution. This methodology yields results comparable to existing methods…
Inferring the state and unknown parameters of a network of coupled oscillators is of utmost importance. This task is made harder when only partial and noisy observations are available, which is a typical scenario in realistic…
Variational inference (VI) combined with Bayesian nonlinear filtering produces state-of-the-art results for latent time-series modeling. A body of recent work has focused on sequential Monte Carlo (SMC) and its variants, e.g., forward…
The fusion of camera sensor and inertial data is a leading method for ego-motion tracking in autonomous and smart devices. State estimation techniques that rely on non-linear filtering are a strong paradigm for solving the associated…
Direct numerical simulation (DNS) of turbulent flows is computationally expensive and cannot be applied to flows with large Reynolds numbers. Large eddy simulation (LES) is an alternative that is computationally less demanding, but is…