Related papers: A recursive smoothing method for input and state e…

This paper introduces a novel approach to detect and address faulty or corrupted external sensors in the context of inertial navigation by leveraging a switching Kalman Filter combined with parameter augmentation. Instead of discarding the…

Distributed sensor networks often include a multitude of sensors, each measuring parts of a process state space or observing the operations of a system. Communication of measurements between the sensor nodes and estimator(s) cannot…

Broadband wireless channels usually have the sparse nature. Based on the assumption of Gaussian noise model, adaptive filtering algorithms for reconstruction sparse channels were proposed to take advantage of channel sparsity. However,…

To estimate the smoothing distribution in a nonlinear state space model, we apply the conditional particle filter with ancestor sampling. This gives an iterative algorithm in a Markov chain Monte Carlo fashion, with asymptotic convergence…

In this paper we propose a (non-linear) smoothing algorithm for group-affine observation systems, a recently introduced class of estimation problems on Lie groups that bear a particular structure. As most non-linear smoothing methods, the…

Bayesian filtering is a general framework for recursively estimating the state of a dynamical system. Classical solutions such that Kalman filter and Particle filter are introduced in this report. Gaussian processes have been introduced as…

There is currently an increasing interest in large vector autoregressive (VAR) models. VARs are popular tools for macroeconomic forecasting and use of larger models has been demonstrated to often improve the forecasting ability compared to…

We propose a principled algorithm for robust Bayesian filtering and smoothing in nonlinear stochastic dynamic systems when both the transition function and the measurement function are described by non-parametric Gaussian process (GP)…

The optimal predictor for a linear dynamical system (with hidden state and Gaussian noise) takes the form of an autoregressive linear filter, namely the Kalman filter. However, a fundamental problem in reinforcement learning and control…

This paper studies the control-oriented identification problem of set-valued moving average systems with uniform persistent excitations and observation noises. A stochastic approximation-based (SA-based) algorithm without projections or…

In this paper, we present the RISE-SLAM algorithm for performing visual-inertial simultaneous localization and mapping (SLAM), while improving estimation consistency. Specifically, in order to achieve real-time operation, existing…

High-dimensional linear regression under heavy-tailed noise or outlier corruption is challenging, both computationally and statistically. Convex approaches have been proven statistically optimal but suffer from high computational costs,…

Probing signal injection is a well-established technique to extract additional information from a weakly (or non) observable dynamical system. Using averaging theory, a framework to analyse such schemes for general nonlinear systems has…

This work proposes ensemble Kalman randomized maximum likelihood estimation, a new derivative-free method for performing randomized maximum likelihood estimation, which is a method that can be used to generate approximate samples from…

Kalman filtering can provide an optimal estimation of the system state from noisy observation data. This algorithm's performance depends on the accuracy of system modeling and noise statistical characteristics, which are usually challenging…

Ill-posed inverse problems are ubiquitous in applications. Under- standing of algorithms for their solution has been greatly enhanced by a deep understanding of the linear inverse problem. In the applied communities ensemble-based filtering…

We address the problem of sparse recovery in an online setting, where random linear measurements of a sparse signal are revealed sequentially and the objective is to recover the underlying signal. We propose a reweighted least squares (RLS)…

This paper presents a novel adaptive reduced-rank {multi-input multi-output} (MIMO) equalization scheme and algorithms based on alternating optimization design techniques for MIMO spatial multiplexing systems. The proposed reduced-rank…

We propose two new Bayesian smoothing methods for general state-space models with unknown parameters. The first approach is based on the particle learning and smoothing algorithm, but with an adjustment in the backward resampling weights.…

We propose a new class of filtering and smoothing methods for inference in high-dimensional, nonlinear, non-Gaussian, spatio-temporal state-space models. The main idea is to combine the ensemble Kalman filter and smoother, developed in the…