Related papers: Outlier-robust Kalman Filtering through Generalise…

We consider the robust filtering problem for a state-space model with outliers in correlated measurements. We propose a new robust filtering framework to further improve the robustness of conventional robust filters. Specifically, the…

This paper introduces a novel Kalman filter framework designed to achieve robust state estimation under both process and measurement noise. Inspired by the Weighted Observation Likelihood Filter (WoLF), which provides robustness against…

Considering a common case where measurements are obtained from independent sensors, we present a novel outlier-robust filter for nonlinear dynamical systems in this work. The proposed method is devised by modifying the measurement model and…

State estimation of dynamical systems from noisy observations is a fundamental task in many applications. It is commonly addressed using the linear Kalman filter (KF), whose performance can significantly degrade in the presence of outliers…

Outliers can contaminate the measurement process of many nonlinear systems, which can be caused by sensor errors, model uncertainties, change in ambient environment, data loss or malicious cyber attacks. When the extended Kalman filter…

The presence of outliers is prevalent in machine learning applications and may produce misleading results. In this paper a new method for dealing with outliers and anomal samples is proposed. To overcome the outlier issue, the proposed…

We consider the robust filtering problem for a nonlinear state-space model with outliers in measurements. To improve the robustness of the traditional Kalman filtering algorithm, we propose in this work two robust filters based on mixture…

We address the problem of observation noise misspecification in Bayesian filtering of dynamical systems via recent advances in generalised Bayesian inference. Mis-match in tail decay between the true data generating process and an assumed…

Anomalies in economic and financial data -- often linked to rare yet impactful events -- are of theoretical interest, but can also severely distort inference. Although outlier-robust methodologies can be used, many researchers prefer…

Impulsed noise outliers are data points that differs significantly from other observations.They are generally removed from the data set through local regression or Kalman filter algorithm.However, these methods, or their generalizations,…

We propose a new robust filtering paradigm considering the situation in which model uncertainty, described through an ambiguity set, is present only in the observations. We derive the corresponding robust estimator, referred to as…

We propose a general solution to the problem of robust Bayesian inference in complex settings where outliers may be present. In practice, the automation of robust Bayesian analyses is important in the many applications involving large and…

Long Short-Term Memory networks trained with gradient descent and back-propagation have received great success in various applications. However, point estimation of the weights of the networks is prone to over-fitting problems and lacks…

We present optimality results for robust Kalman filtering where robustness is understood in a distributional sense, i.e.; we enlarge the distribution assumptions made in the ideal model by suitable neighborhoods. This allows for outliers…

In this paper, we propose CE-BASS, a particle mixture Kalman filter which is robust to both innovative and additive outliers, and able to fully capture multi-modality in the distribution of the hidden state. Furthermore, the particle…

State estimation or filtering serves as a fundamental task to enable intelligent decision-making in applications such as autonomous vehicles, robotics, healthcare monitoring, smart grids, intelligent transportation, and predictive…

State estimation of dynamical systems is crucial for providing new decision-making and system automation information in different applications. However, the assumptions on the standard computational models for sensor measurements can be…

The Kalman filter is ubiquitous for state space models because of its desirable statistical properties, ease of implementation, and generally good performance. However, it can perform poorly in the presence of outliers, or measurements with…

This paper presents a method for jointly estimating the state, input, and parameters of linear systems in an online fashion. The method is specially designed for measurements that are corrupted with non-Gaussian noise or outliers, which are…

In this thesis, we introduce Bayesian filtering as a principled framework for tackling diverse sequential machine learning problems, including online (continual) learning, prequential (one-step-ahead) forecasting, and contextual bandits. To…