Related papers: Chandrasekhar-based maximum correntropy Kalman fil…
In this paper, we establish the connections of the fundamental limitations in feedback communication, estimation, and feedback control over Gaussian channels, from a unifying perspective for information, estimation, and control. The optimal…
In the last decade, a considerable research effort has been devoted to developing adaptive algorithms based on kernel functions. One of the main features of these algorithms is that they form a family of universal approximation techniques,…
Sparseness and robustness are two important properties for many machine learning scenarios. In the present study, regarding the maximum correntropy criterion (MCC) based robust regression algorithm, we investigate to integrate the MCC…
Robust matrix completion aims to recover a low-rank matrix from a subset of noisy entries perturbed by complex noises, where traditional methods for matrix completion may perform poorly due to utilizing $l_2$ error norm in optimization. In…
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 real applications, non-Gaussian distributions are frequently caused by outliers and impulsive disturbances, and these will impair the performance of the classical cubature Kalman filter (CKF) algorithm. In this letter, a modified…
Non-negative matrix factorization (NMF) has proved effective in many clustering and classification tasks. The classic ways to measure the errors between the original and the reconstructed matrix are $l_2$ distance or Kullback-Leibler (KL)…
This paper develops efficient ensemble Kalman filter (EnKF) implementations based on shrinkage covariance estimation. The forecast ensemble members at each step are used to estimate the background error covariance matrix via the…
This paper extends the ensemble Kalman filter (EnKF) for inverse problems to identify trending model coefficients. This is done by repeatedly inflating the ensemble while maintaining the mean of the particles. As a benchmark serves a…
We propose a principled kernel-based policy iteration algorithm to solve the continuous-state Markov Decision Processes (MDPs). In contrast to most decision-theoretic planning frameworks, which assume fully known state transition models, we…
Cubature Kalman Filter (CKF) has good performance when handling nonlinear dynamic state estimations. However, it cannot work well in non-Gaussian noise and bad data environment due to the lack of auto-adaptive ability to measure noise…
We consider estimation and control in linear time-varying dynamical systems from the perspective of regret minimization. Unlike most prior work in this area, we focus on the problem of designing causal estimators and controllers which…
Nanomechanical resonant sensors are used in mass spectrometry via detection of resonance frequency jumps. There is a fundamental trade-off between detection speed and accuracy. Temporal and size resolution are limited by the resonator…
One of the most computationally challenging problems expected for the High-Luminosity Large Hadron Collider (HL-LHC) is finding and fitting particle tracks during event reconstruction. Algorithms used at the LHC today rely on Kalman…
We propose a Neural-Enhanced Distributed Kalman Filter (NDKF) for multi-sensor state estimation in nonlinear systems. Unlike traditional Kalman filters that rely on explicit analytical models and assume centralized fusion, NDKF leverages…
The Kalman filter has been adopted in acoustic echo cancellation due to its robustness to double-talk, fast convergence, and good steady-state performance. The performance of Kalman filter is closely related to the estimation accuracy of…
Algorithmic discovery has traditionally relied on human ingenuity and extensive experimentation. Here we investigate whether a prominent scientific computing algorithm, the Kalman Filter, can be discovered through an automated, data-driven,…
Parameter estimation has a high importance in the geosciences. The ensemble Kalman filter (EnKF) allows parameter estimation for large, time-dependent systems. For large systems, the EnKF is applied using small ensembles, which may lead to…
We introduce a new micro-macro Markov chain Monte Carlo method (mM-MCMC) to sample invariant distributions of molecular dynamics systems that exhibit a time-scale separation between the microscopic (fast) dynamics, and the macroscopic…
In non-linear filtering, it is traditional to compare non-linear architectures such as neural networks to the standard linear Kalman Filter (KF). We observe that this mixes the evaluation of two separate components: the non-linear…