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In this paper we consider the behavior of Kalman Filter state estimates in the case of distribution with heavy tails .The simulated linear state space models with Gaussian measurement noises were used. Gaussian noises in state equation are…
This paper develops a robust extended Kalman filter to estimate the rotor angles and the rotor speeds of synchronous generators of a multimachine power system. Using a batch-mode regression form, the filter processes together predicted…
This paper considers the problem of distributed estimation in a sensor network, where multiple sensors are deployed to infer the state of a linear time-invariant (LTI) Gaussian system. By proposing a lossless decomposition of Kalman filter,…
Fueled by applications in sensor networks, these years have witnessed a surge of interest in distributed estimation and filtering. A new approach is hereby proposed for the Distributed Kalman Filter (DKF) by integrating a local covariance…
State estimation that combines observational data with mathematical models is central to many applications and is commonly addressed through filtering methods, such as ensemble Kalman filters. In this article, we examine the signal-tracking…
The input-parameter-state estimation capabilities of a novel unscented Kalman filter is examined herein on both linear and nonlinear systems. The unknown input is estimated in two stages within each time step. Firstly, the predicted dynamic…
This work studies the state estimation problem of a stochastic nonlinear system with unknown sensor measurement losses. If the estimator knows the sensor measurement losses of a linear Gaussian system, the minimum variance estimate is…
In this paper, state and noise covariance estimation problems for linear system with unknown multiplicative noise are considered. The measurement likelihood is modelled as a mixture of two Gaussian distributions and a Student's t…
Switching Kalman Filters (SKF) are well known for their ability to solve the piecewise linear dynamic system estimation problem using the standard Kalman Filter (KF). Practical SKFs are heuristic, approximate filters that are not guaranteed…
This work addresses the critical lack of precision in state estimation in the Kalman filter for 3D multi-object tracking (MOT) and the ongoing challenge of selecting the appropriate motion model. Existing literature commonly relies on…
We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of…
The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian L\'evy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian…
The Kalman Filter (KF) parameters are traditionally determined by noise estimation, since under the KF assumptions, the state prediction errors are minimized when the parameters correspond to the noise covariance. However, noise estimation…
We demonstrate optimal state estimation for a cavity optomechanical system through Kalman filtering. By taking into account nontrivial experimental noise sources, such as colored laser noise and spurious mechanical modes, we implement a…
This paper investigates the observability of one of the most commonly used equivalent circuit models (ECMs) for lithium-ion batteries and presents a method to estimate the state of charge (SOC) in the presence of sensor biases, highlighting…
We study causal waveform estimation (tracking) of time-varying signals in a paradigmatic atomic sensor, an alkali vapor monitored by Faraday rotation probing. We use Kalman filtering, which optimally tracks known linear Gaussian stochastic…
The real-world applications in signal processing generally involve estimating the system state or parameters in nonlinear, non-Gaussian dynamic systems. The estimation problem may get even more challenging when there are physical…
Traditional filtering algorithms for state estimation -- such as classical Kalman filtering, unscented Kalman filtering, and particle filters - show performance degradation when applied to nonlinear systems whose uncertainty follows…
Providing a metric of uncertainty alongside a state estimate is often crucial when tracking a dynamical system. Classic state estimators, such as the Kalman filter (KF), provide a time-dependent uncertainty measure from knowledge of the…
State estimation in the presence of uncertain or data-driven noise distributions remains a critical challenge in control and robotics. Although the Kalman filter is the most popular choice, its performance degrades significantly when…