Related papers: Estimation of large approximate dynamic matrix fac…
The expectation-maximization (EM) algorithm is a well-known iterative method for computing maximum likelihood estimates from incomplete data. Despite its numerous advantages, a main drawback of the EM algorithm is its frequently observed…
Online (also called "recursive" or "adaptive") estimation of fixed model parameters in hidden Markov models is a topic of much interest in times series modelling. In this work, we propose an online parameter estimation algorithm that…
Expectation-Maximization (EM) algorithm is a widely used iterative algorithm for computing (local) maximum likelihood estimate (MLE). It can be used in an extensive range of problems, including the clustering of data based on the Gaussian…
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…
The augmented, iterated Kalman smoother is applied to system identification for inverse problems in evolutionary differential equations. In the augmented smoother, the unknown, time-dependent coefficients are included in the state vector,…
This paper presents preliminary work on computing upper bounds on the estimation error covariance in the framework of the extended Kalman filter. The approach taken is using quadratic constraints to bound the dynamic nonlinearities and use…
Data-driven models for nonlinear dynamical systems based on approximating the underlying Koopman operator or generator have proven to be successful tools for forecasting, feature learning, state estimation, and control. It has become well…
High fidelity behavior prediction of intelligent agents is critical in many applications. However, the prediction model trained on the training set may not generalize to the testing set due to domain shift and time variance. The challenge…
We introduce a class of Bayesian matrix dynamic factor models that accommodates time-varying volatility, outliers, and cross-sectional correlation in the idiosyncratic components. For model comparison, we employ an importance-sampling…
Dynamic mode decomposition (DMD) is a data-driven method of extracting spatial-temporal coherent modes from complex systems and providing an equation-free architecture to model and predict systems. However, in practical applications, the…
In this work, we consider a sensor selection drawn at random by a sampling with replacement policy for a linear time-invariant dynamical system subject to process and measurement noise. We employ the Kalman filter to estimate the state of…
We propose a dynamic multiplicative factor model for process data, which arise from complex problem-solving items, an emerging testing mode in large-scale educational assessment. The proposed model can be viewed as an extension of the…
Dynamic linear regression models forecast the values of a time series based on a linear combination of a set of exogenous time series while incorporating a time series process for the error term. This error process is often assumed to…
Tracking algorithms such as the Kalman filter aim to improve inference performance by leveraging the temporal dynamics in streaming observations. However, the tracking regularizers are often based on the $\ell_p$-norm which cannot account…
This paper deals with the identification of piecewise affine state-space models. These models are obtained by partitioning the state or input domain into a finite number of regions and by considering affine submodels in each region. The…
This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…
The Expectation-Maximization (EM) algorithm is a popular choice for learning latent variable models. Variants of the EM have been initially introduced, using incremental updates to scale to large datasets, and using Monte Carlo (MC)…
Bayesian graphical models are a useful tool for understanding dependence relationships among many variables, particularly in situations with external prior information. In high-dimensional settings, the space of possible graphs becomes…
We introduce the variational filtering EM algorithm, a simple, general-purpose method for performing variational inference in dynamical latent variable models using information from only past and present variables, i.e. filtering. The…
In this work, we develop a scalable approach for a flexible latent factor model for high-dimensional dynamical systems. Each latent factor process has its own correlation and variance parameters, and the orthogonal factor loading matrix can…