Related papers: Space-Time Decomposition of Kalman Filter

Motivated by the needs of online large-scale recommender systems, we specialize the decoupled extended Kalman filter (DEKF) to factorization models, including factorization machines, matrix and tensor factorization, and illustrate the…

The ensemble Kalman filter (EnKF) is a popular technique for performing inference in state-space models (SSMs), particularly when the dynamic process is high-dimensional. Unlike reweighting methods such as sequential Monte Carlo (SMC, i.e.…

In many physical applications, the system's state varies with spatial variables as well as time. The state of such systems is modelled by partial differential equations and evolves on an infinite-dimensional space. Systems modelled by…

State estimation of dynamical systems in real-time is a fundamental task in signal processing. For systems that are well-represented by a fully known linear Gaussian state space (SS) model, the celebrated Kalman filter (KF) is a low…

In this work, we consider alternative discretizations for PDEs which use expansions involving integral operators to approximate spatial derivatives. These constructions use explicit information within the integral terms, but treat boundary…

Robustness and adaptivity are two competing objectives in Kalman filters (KF). Robustness involves temporarily inflating prior estimates of noise covariances, while adaptivity updates prior beliefs by exploiting measurements. In practical…

Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface groundwater models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model's…

This paper presents an innovative Reduced-Order Model (ROM) for merging experimental and simulation data using Data Assimilation (DA) to estimate the "True" state of a fluid dynamics system, leading to more accurate predictions. Our…

Many estimation problems in aerospace navigation and robotics involve measurements that depend on prior states. A prominent example is odometry, which measures the relative change between states over time. Accurately handling these…

With efficient appearance learning models, Discriminative Correlation Filter (DCF) has been proven to be very successful in recent video object tracking benchmarks and competitions. However, the existing DCF paradigm suffers from two major…

In this paper, we consider the task of designing a Kalman Filter (KF) for an unknown and partially observed autonomous linear time invariant system driven by process and sensor noise. To do so, we propose studying the following two step…

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…

This work proposes a discretization of the acoustic wave equation with possibly oscillatory coefficients based on a superposition of discrete solutions to spatially localized subproblems computed with an implicit time discretization. Based…

This paper is concerned with the linear/nonlinear Kalman-like filtering problem under binary sensors. Since innovation represents new information in the sensor measurement and serves to correct the prediction for the Kalman-like filter…

Spatio-temporal data sets are rapidly growing in size. For example, environmental variables are measured with ever-higher resolution by increasing numbers of automated sensors mounted on satellites and aircraft. Using such data, which are…

Partially-Observable Markov Decision Processes (POMDPs) are typically solved by finding an approximate global solution to a corresponding belief-MDP. In this paper, we offer a new planning algorithm for POMDPs with continuous state, action…

We demonstrate a method that merges the quantum filter diagonalization (QFD) approach for hybrid quantum/classical solution of the time-independent electronic Schr\"odinger equation with a low-rank double factorization (DF) approach for the…

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…

The decentralized particle filter (DPF) was proposed recently to increase the level of parallelism of particle filtering. Given a decomposition of the state space into two nested sets of variables, the DPF uses a particle filter to sample…

We propose a new type of the Ensemble Kalman Filter (EnKF), which uses the Fast Fourier Transform (FFT) for covariance estimation from a very small ensemble with automatic tapering, and for a fast computation of the analysis ensemble by…