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Uncertain parameters of state-space models have always been a considerable problem. Consider Kalman filter (CKF) and desensitized Kalman filter (DKF) are two methods to solve this problem. Based on the sensitivity matrix respected to the…
Despite the numerous applications that may be expeditiously modelled by counting processes, stochastic filtering strategies involving Poisson-type observations still remain somewhat poorly developed. In this work, we propose a Monte Carlo…
For additive actuator and sensor faults, we propose a systematic method to design a state-space fault estimation filter directly from Markov parameters identified from fault-free data. We address this problem by parameterizing a…
Quantum metrology is a rapidly developing branch of quantum technologies. While various theories have been established on quantum metrology for Markovian processes, i.e., quantum channel estimation, quantum metrology for non-Markovian…
An incremental/online state dynamic learning method is proposed for identification of the nonlinear Gaussian state space models. The method embeds the stochastic variational sparse Gaussian process as the probabilistic state dynamic model…
Conditional particle filters (CPFs) are powerful smoothing algorithms for general nonlinear/non-Gaussian hidden Markov models. However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in…
A priori state vector and error covariance computation for the Unscented Kalman Filter (UKF) is described. The original UKF propagates multiple sigma points to compute the a priori mean state vector and the error covariance, resulting in a…
Non-Gaussian states of an optical field are important as a proposed resource in quantum information applications. While conditional preparation is a highly successful approach to preparing such states, their quality is limited by detector…
The Kalman filter provides an optimal estimation for a linear system with Gaussian noise. However when the noises are non-Gaussian in nature, its performance deteriorates rapidly. For non-Gaussian noises, maximum correntropy Kalman filter…
Bayesian filtering serves as the mainstream framework of state estimation in dynamic systems. Its standard version utilizes total probability rule and Bayes' law alternatively, where how to define and compute conditional probability is…
Ensemble transform Kalman filtering (ETKF) data assimilation is often used to combine available observations with numerical simulations to obtain statistically accurate and reliable state representations in dynamical systems. However, it is…
The Geometrically Intrinsic Nonlinear Recursive Filter, or GI Filter, is designed to estimate an arbitrary continuous-time Markov diffusion process X subject to nonlinear discrete-time observations. The GI Filter is fundamentally different…
We present a detailed analytic framework for studying multimode non-Gaussian states that are conditionally generated when few modes of a multimode Gaussian state are subject to photon-number-resolving detectors. From the output state Wigner…
State estimation incorporates the feedback in optimization based advanced process control systems and is very important for the performance of model predictive control. We describe the extended Kalman filter, the unscented Kalman filter,…
The paper provides simple formulas of Bayesian filtering for the exact recursive computation of state conditional probability density functions given quantized innovations signal measurements of a linear stochastic system. This is a topic…
In many scientific fields, researchers are interested in discovering features with substantial effect on the response from a large number of features while controlling the proportion of false discoveries. By incorporating the knockoff…
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.…
Kalman-type filtering techniques including cubature Kalman filter (CKF) does not work well in non-Gaussian environments, especially in the presence of outliers. To solve this problem, Huber's M-estimation based robust CKF (RCKF) is proposed…
Accurately characterizing the properties of structured reservoirs is a key challenge in quantum systems and is of great importance for advances in quantum metrology and sensing. In this work, we employ a two-level system (qubit) as a probe,…
Non Gaussian states and processes are useful resources in quantum information with continuous variables. An experimentally accessible criterion has been proposed to measure the degree of non Gaussianity of quantum states, based on the…