Related papers: Neural Kalman Filters for Acoustic Echo Cancellati…

The extended Kalman filter (EKF) is a cornerstone of nonlinear state estimation, yet its performance is fundamentally limited by noise-model mismatch and linearization errors. We develop a residual-aware distributionally robust EKF that…

Data assimilation (DA) for compressible flows with shocks is challenging because many classical DA methods generate spurious oscillations and nonphysical features near uncertain shocks. We focus here on the ensemble Kalman filter (EnKF). We…

In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…

The Ensemble Kalman filter (EnKF) was introduced by Evensen in 1994 [10] as a novel method for data assimilation: state estimation for noisily observed time-dependent problems. Since that time it has had enormous impact in many application…

In non-linear filtering, it is traditional to compare non-linear architectures such as neural networks to the standard linear Kalman Filter (KF). We observe that this mixes the evaluation of two separate components: the non-linear…

In order to integrate uncertainty estimates into deep time-series modelling, Kalman Filters (KFs) (Kalman et al., 1960) have been integrated with deep learning models, however, such approaches typically rely on approximate inference…

A novel dynamic mode decomposition (DMD) method based on a Kalman filter is proposed. This paper explains the fast algorithm of the proposed Kalman filter DMD (KFDMD) in combination with truncated proper orthogonal decomposition for…

Full-duplex transmission comprises the ability to transmit and receive at the same time on the same frequency band. It allows for more efficient utilization of spectral resources, but raises the challenge of strong self-interference (SI).…

An important part of system modeling is determining parameter values, particularly for biomolecular systems, where direct measurements of individual parameters are typically hard. While Extended Kalman Filters have been used for this…

Natural disasters, such as hurricanes and typhoons, pose significant challenges to public safety and infrastructure. While government agencies rely on multi million dollar UAV systems for storm data collection and disaster response, smaller…

This paper proposes a joint acoustic echo cancellation (AEC) and speech dereverberation (DR) algorithm in the short-time Fourier transform domain. The reverberant microphone signals are described using an auto-regressive (AR) model. The AR…

Acoustic Echo Cancellation (AEC) plays a key role in voice interaction. Due to the explicit mathematical principle and intelligent nature to accommodate conditions, adaptive filters with different types of implementations are always used…

This paper presents an adaptive Kalman filter for a linear dynamic system perturbed by an additive disturbance. The objective is to estimate both of the state and the unknown disturbance concurrently, while learning the disturbance as a…

Various methods have been proposed for the nonlinear filtering problem, including the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF), unscented Kalman filter (UKF) and iterated unscented Kalman filter (IUKF). In this…

Latent variable models have become instrumental in computational neuroscience for reasoning about neural computation. This has fostered the development of powerful offline algorithms for extracting latent neural trajectories from neural…

The Kalman filter (KF) is a widely-used algorithm for tracking dynamic systems that are captured by state space (SS) models. The need to fully describe a SS model limits its applicability under complex settings, e.g., when tracking based on…

Recent years have witnessed a growing interest in tracking algorithms that augment Kalman Filters (KFs) with Deep Neural Networks (DNNs). By transforming KFs into trainable deep learning models, one can learn from data to reliably track a…

Traditional Kalman filter (KF) is derived under the well-known minimum mean square error (MMSE) criterion, which is optimal under Gaussian assumption. However, when the signals are non-Gaussian, especially when the system is disturbed by…

Accurate estimation of noise parameters is critical for optimal filter performance, especially in systems where true noise parameter values are unknown or time-varying. This article presents a quaternion left-invariant extended Kalman…

The extended Kalman filter (EKF) has been the industry standard for state estimation problems over the past sixty years. The Invariant Extended Kalman Filter (IEKF) is a recent development of the EKF for the class of group-affine systems on…