Related papers: Bounding the Estimation Error Covariance for Nonli…

In this work, we present methods for state estimation in continuous-discrete nonlinear systems involving stochastic differential equations. We present the extended Kalman filter, the unscented Kalman filter, the ensemble Kalman filter, and…

In this work, we consider the problem of bounding the values of a covariance function corresponding to a continuous-time stationary stochastic process or signal. Specifically, for two signals whose covariance functions agree on a finite…

Both constrained and unconstrained optimization problems regularly appear in recursive tracking problems engineers currently address -- however, constraints are rarely exploited for these applications. We define the Kalman Filter and…

We address the problem of determining optimal sensor precisions for estimating the states of linear time-varying discrete-time stochastic dynamical systems, with guaranteed bounds on the estimation errors. This is performed in the Kalman…

Stability analysis of the Kalman filter under randomly lost measurements has been widely studied. We revisit this problem in a general continuous-time framework, where both the measurement matrix and noise covariance evolve as random…

The application of neural networks in modeling dynamic systems has become prominent due to their ability to estimate complex nonlinear functions. Despite their effectiveness, neural networks face challenges in long-term predictions, where…

We present a method of parameter estimation for large class of nonlinear systems, namely those in which the state consists of output derivatives and the flow is linear in the parameter. The method, which solves for the unknown parameter by…

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…

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…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…

We consider the problem of performing Bayesian inference for logistic regression using appropriate extensions of the ensemble Kalman filter. Two interacting particle systems are proposed that sample from an approximate posterior and prove…

Numerical nonlinear algebra is applied to maximum likelihood estimation for Gaussian models defined by linear constraints on the covariance matrix. We examine the generic case as well as special models (e.g. Toeplitz, sparse, trees) that…

The Ensemble Kalman filter and Ensemble square root filters are data assimilation methods used to combine high dimensional nonlinear models with observed data. These methods have proved to be indispensable tools in science and engineering…

Safety-critical navigation applications require that estimation errors be reliably quantified and bounded. This can be challenging for linear dynamic systems if the process noise or measurement errors have uncertain time correlation. In…

Common filters are usually based on the linear approximation of the optimal minimum mean square error estimator. The Extended and Unscented Kalman Filters handle nonlinearity through linearization and unscented transformation, respectively,…

We demonstrate that the extended Kalman filter converges locally for a broad class of nonlinear systems. If the initial estimation error of the filter is not too large then the error goes to zero exponentially as time goes to infinity. To…

Contemporary data assimilation often involves millions of prediction variables. The classical Kalman filter is no longer computationally feasible in such a high dimensional context. This problem can often be resolved by exploiting the…

The Bayesian approach to inverse problems is widely used in practice to infer unknown parameters from noisy observations. In this framework, the ensemble Kalman inversion has been successfully applied for the quantification of uncertainties…

We formulate a recursive estimation problem for multiple dynamical systems coupled through a low dimensional stochastic input, and we propose an efficient sub-optimal solution. The suggested approach is an approximation of the Kalman filter…

Stochastic models in biomolecular contexts can have a state-dependent process noise covariance. The choice of the process noise covariance is an important parameter in the design of a Kalman Filter for state estimation and the theoretical…