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This paper investigates the distributionally robust filtering of signals generated by state-space models driven by exogenous disturbances with noisy observations in finite and infinite horizon scenarios. The exact joint probability…
A novel method for distributed estimation of the frequency of power systems is introduced based on the cooperation between multiple measurement nodes. The proposed distributed widely linear complex Kalman filter (D-ACKF) and the distributed…
Distributed Kalman filter approaches based on the maximum correntropy criterion have recently demonstrated superior state estimation performance to that of conventional distributed Kalman filters for wireless sensor networks in the presence…
Simulation-based Dynamic Traffic Assignment models have important applications in real-time traffic management and control. The efficacy of these systems rests on the ability to generate accurate estimates and predictions of traffic states,…
Online estimation of electromechanical oscillation parameters provides essential information to prevent system instability and blackout and helps to identify event categories and locations. We formulate the problem as a state space model…
The massive integration of distributed energy resources changes the operational demands of the electric power distribution system, motivating optimization-based approaches. The added computational complexities of the resulting optimal power…
Data assimilation (DA) for compressible flows with shocks is challenging because many classical DA methods generate spurious oscillations and nonphysical features near uncertain shocks. We focus here on the ensemble Kalman filter (EnKF). We…
State estimation is a fundamental problem in control and signal processing, for which the Kalman Filter provides an optimal solution under linear dynamics, Gaussian noise, and known noise covariances. However, these assumptions often fail…
The Distributed Diffusion Kalman Filter (DDKF) algorithm in all its magnitude has earned great attention lately and has shown an elaborate way to address the issue of distributed optimization over networks. Estimation and tracking of a…
A new dynamic mode decomposition (DMD) method is introduced for simultaneous online system identification and denoising in conjunction with the adoption of an extended Kalman filter algorithm\color{black}. The present paper explains the…
The ensemble Kalman filter (EnKF) is a method for combining a dynamical model with data in a sequential fashion. Despite its widespread use, there has been little analysis of its theoretical properties. Many of the algorithmic innovations…
This paper studies the convergence of the estimation error process and the characterization of the corresponding invariant measure in distributed Kalman filtering for potentially unstable and large linear dynamic systems. A gossip network…
Compressed Estimation approaches, such as the Generalised Compressed Kalman Filter (GCKF), reduce the computational cost and complexity of high dimensional and high frequency data assimilation problems; usually without sacrificing…
This paper is concerned with optimality and stability analysis of a family of ensemble Kalman filter (EnKF) algorithms. EnKF is commonly used as an alternative to the Kalman filter for high-dimensional problems, where storing the covariance…
We study the Extended Kalman Filter in constant dynamics, offering a bayesian perspective of stochastic optimization. We obtain high probability bounds on the cumulative excess risk in an unconstrained setting. In order to avoid any…
Biomolecular systems are often modeled with partially known nonlinear stochastic dynamics, making state and parameter estimation a central challenge. While Kalman filtering techniques are widely used in this setting, their performance…
The extended Kalman filter (EKF) is a cornerstone of nonlinear state estimation, yet its performance is fundamentally limited by noise-model mismatch and linearization errors. We develop a residual-aware distributionally robust EKF that…
This paper deals with the problem of remote estimation of the state of a discrete-time stochastic linear system observed by a sensor with computational capacity to calculate local estimates. We design an event-triggered communication (ETC)…
We present the Koopman-Inspired Learned Observations Extended Kalman Filter (KILO-EKF), which combines a standard EKF prediction step with a correction step based on a Koopman-inspired measurement model learned from data. By lifting…
Simultaneous localization and mapping (SLAM) is a method that constructs a map of an unknown environment and localizes the position of a moving agent on the map simultaneously. Extended Kalman filter (EKF) has been widely adopted as a low…