Related papers: Chandrasekhar-based maximum correntropy Kalman fil…

This paper suggests a few novel Cholesky-based square-root algorithms for the maximum correntropy criterion Kalman filtering. In contrast to the previously obtained results, new algorithms are developed in the so-called {\it condensed} form…

We present a practical implementation of the ensemble Kalman (EnKF) filter based on an iterative Sherman-Morrison formula. The new direct method exploits the special structure of the ensemble-estimated error covariance matrices in order to…

The paper proposes a new recursive filter for non-linear systems that inherently computes a valid bound on the mean square estimation error. The proposed filter, bound based extended Kalman, (BEKF) is in the form of an extended Kalman…

This paper develops an efficient implementation of the ensemble Kalman filter based on a modified Cholesky decomposition for inverse covariance matrix estimation. This implementation is named EnKF-MC. Background errors corresponding to…

The traditional Kalman filter (KF) is widely applied in control systems, but it relies heavily on the accuracy of the system model and noise parameters, leading to potential performance degradation when facing inaccuracies. To address this…

The paper presents a new Kalman filter (KF) implementation useful in applications where the accuracy of numerical solution of the associated Riccati equation might be crucially reduced by influence of roundoff errors. Since the appearance…

In many signal processing applications of Kalman filter (KF) and its variants and extensions, accurate estimation of extreme states is often of great importance. When the observations used are uncertain, however, KF suffers from conditional…

This work develops a new multifidelity ensemble Kalman filter (MFEnKF) algorithm based on linear control variate framework. The approach allows for rigorous multifidelity extensions of the EnKF, where the uncertainty in coarser fidelities…

This work proposes a resilient and adaptive state estimation framework for robots operating in perceptually-degraded environments. The approach, called Adaptive Maximum Correntropy Criterion Kalman Filtering (AMCCKF), is inherently robust…

The Kalman filter is a fundamental tool for state estimation in dynamical systems. While originally developed for linear Gaussian settings, it has been extended to nonlinear problems through approaches such as the extended and unscented…

The maximum correntropy criterion (MCC) has recently been successfully applied in robust regression, classification and adaptive filtering, where the correntropy is maximized instead of minimizing the well-known mean square error (MSE) to…

The Kalman filter (KF) and the extended Kalman filter (EKF) are well established techniques for state estimation. However, the choice of the filter tuning parameters still poses a major challenge for the engineers [1]. In the present work,…

The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman…

For linear discrete state-space (LDSS) models, under certain conditions, the linear least mean squares filter estimate has a convenient recursive predictor/corrector format, aka the Kalman filter (KF). The aim of the paper is to introduce…

We examine the problem of time delay estimation, or temporal calibration, in the context of multisensor data fusion. Differences in processing intervals and other factors typically lead to a relative delay between measurement updates from…

Recursive least squares (RLS) is derived as the recursive minimizer of the least-squares cost function. Moreover, it is well known that RLS is a special case of the Kalman filter. This work presents the Kalman filter least squares (KFLS)…

In order to integrate uncertainty estimates into deep time-series modelling, Kalman Filters (KFs) (Kalman et al., 1960) have been integrated with deep learning models, however, such approaches typically rely on approximate inference…

The Kalman filter (KF) is an optimal linear state estimator for linear systems, and numerous extensions, including the extended Kalman filter (EKF), unscented Kalman filter (UKF), and cubature Kalman filter (CKF), have been developed for…

We exploit knowledge of linear substructure in the linear-regression Kalman filters (LRKFs) to simplify the problem of moment matching. The theoretical results yield quantifiable and significant computational speedups at no cost of…

The cubature Kalman filter (CKF), while theoretically rigorous for nonlinear estimation, often suffers performance degradation due to model-environment mismatches in practice. To address this limitation, we propose CKFNet-a hybrid…