Related papers: Bayesian Recursive Update for Ensemble Kalman Filt…
The ensemble Kalman filter (EnKF) and ensemble square root filter (ESRF) are data assimilation methods used to combine high dimensional, nonlinear dynamical models with observed data. Despite their widespread usage in climate science and…
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…
We make modifications to the unscented Kalman filter (UKF) which bestow almost complete practical identifiability upon a lumped-parameter cardiovascular model with 10 parameters and 4 output observables - a highly non-linear, stiff problem…
This work presents a fast, uncertainty-aware sequential data assimilation framework for estimating key aerodynamic states (e.g., instantaneous vorticity fields and aerodynamic loads) during severe gust encounters, where vortex-gust…
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…
Heavy tails is a common feature of filtering distributions that results from the nonlinear dynamical and observation processes as well as the uncertainty from physical sensors. In these settings, the Kalman filter and its ensemble version -…
Graph generation aims to sample discrete node and edge attributes while satisfying coupled structural constraints. Diffusion models for graphs often adopt largely factorized forward-noising, and many flow-matching methods start from…
In this paper, we address the problem of convergence of sequential variational inference filter (VIF) through the application of a robust variational objective and Hinf-norm based correction for a linear Gaussian system. As the dimension of…
A new type of ensemble filter is proposed, which combines an ensemble Kalman filter (EnKF) with the ideas of morphing and registration from image processing. This results in filters suitable for nonlinear problems whose solutions exhibit…
In this article we consider the application of multilevel Monte Carlo, for the estimation of normalizing constants. In particular we will make use of the filtering algorithm, the ensemble Kalman-Bucy filter (EnKBF), which is an N-particle…
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…
We consider the solution of inverse problems in dynamic contrast-enhanced imaging by means of Ensemble Kalman Filters. Our quantity of interest is blood perfusion, i.e. blood flow rates in tissue. While existing approaches to compute blood…
The task of dynamic flow estimation is to construct an approximation of an evolving flow---and particularly, its response to disturbances---using measurements from available sensors. Building from previous work by Darakananda et al.~(Phys…
The paper provides simple formulas of Bayesian filtering for the exact recursive computation of state conditional probability density functions given quantized innovations signal measurements of a linear stochastic system. This is a topic…
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…
Safety-critical control is imperative for deploying autonomous systems in the real world. Control Barrier Functions (CBFs) offer strong safety guarantees when accurate system and sensor models are available. However, widely used additive,…
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…
An important part of system modeling is determining parameter values, particularly for biomolecular systems, where direct measurements of individual parameters are typically hard. While Extended Kalman Filters have been used for this…
This paper introduces a novel Kalman filter framework designed to achieve robust state estimation under both process and measurement noise. Inspired by the Weighted Observation Likelihood Filter (WoLF), which provides robustness against…
We propose a new algorithm for an adaptive optics system control law which allows to reduce the computational burden in the case of an Extremely Large Telescope (ELT) and to deal with non-stationary behaviors of the turbulence. This…