Related papers: The inverse Kalman filter
This paper proposes a probabilistic approach to the problem of intrinsic filtering of a system on a matrix Lie group with invariance properties. The problem of an invariant continuous-time model with discrete-time measurements is cast into…
In this paper, we address the problem of convergence of sequential variational inference filter (VIF) through the application of a robust variational objective and Hinf-norm based correction for a linear Gaussian system. As the dimension of…
Among the class of nonlinear particle filtering methods, the Ensemble Kalman Filter (EnKF) has gained recent attention for its use in solving inverse problems. We review the original method and discuss recent developments in particular in…
Data assimilation is the task to combine evolution models and observational data in order to produce reliable predictions. In this paper, we focus on ensemble-based recursive data assimilation problems. Our main contribution is a hybrid…
We propose a nonconvex estimator for joint multivariate regression and precision matrix estimation in the high dimensional regime, under sparsity constraints. A gradient descent algorithm with hard thresholding is developed to solve the…
This paper uses a probabilistic approach to analyze the converge of an ensemble Kalman filter solution to an exact Kalman filter solution in the simplest possible setting, the scalar case, as it allows us to build upon a rich literature of…
Kalman filter is a best linear unbiased state estimator. It is also comprehensible from the point view of the Bayesian estimation. However, this note gives a detailed derivation of Kalman filter from the mutual information perspective for…
We propose an affine-mapping based variational Ensemble Kalman filter for sequential Bayesian filtering problems with generic observation models. Specifically, the proposed method is formulated as to construct an affine mapping from the…
The extended Kalman filter is perhaps the most standard tool to estimate in real time the state of a dynamical system from noisy measurements of some function of the system, with extensive practical applications (such as position tracking…
Kalman Filtering problems often have inherent and known constraints in the physical dynamics that are not exploited despite potentially significant gains (e.g., fixed speed of a motor). In this paper, we review existing methods and propose…
Many data-science problems can be formulated as an inverse problem, where the parameters are estimated by minimizing a proper loss function. When complicated black-box models are involved, derivative-free optimization tools are often…
A sequential estimator based on the Ensemble Kalman Filter for Data Assimilation of fluid flows is presented in this research work. The main feature of this estimator is that the Kalman filter update, which relies on the determination of…
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…
This work describes a family of attitude estimators that are based on a generalization of Mahony's nonlinear complementary filter. This generalization reveals the close mathematical relationship between the nonlinear complementary filter…
Vehicle state estimation presents a fundamental challenge for autonomous driving systems, requiring both physical interpretability and the ability to capture complex nonlinear behaviors across diverse operating conditions. Traditional…
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…
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…
In this manuscript, a general method for deriving filtering algorithms that involve a network of interconnected Bayesian filters is proposed. This method is based on the idea that the processing accomplished inside each of the Bayesian…
The Derivative-free nonlinear Kalman Filter is proposed for state estimation and fault diagnosis in distributed parameter systems and particularly in dynamical systems described by partial differential equations of the nonlinear wave type.…
We propose an algorithm for generating explicit solutions of multiparametric mixed-integer convex programs to within a given suboptimality tolerance. The algorithm is applicable to a very general class of optimization problems, but is most…