Related papers: Joint State and Noise Covariance Estimation
We consider the problem of determining the weights of a quantum ensemble. That is to say, given a quantum system that is in a set of possible known states according to an unknown probability law, we give strategies to estimate the…
In this paper, we propose to estimate the invariant subspace across heterogeneous multiple networks using a novel bias-corrected joint spectral embedding algorithm. The proposed algorithm recursively calibrates the diagonal bias of the sum…
Joint sparsity regularization in multi-task learning has attracted much attention in recent years. The traditional convex formulation employs the group Lasso relaxation to achieve joint sparsity across tasks. Although this approach leads to…
Presented is a new algorithm for estimating the frequency of a single-tone noisy signal using linear least squares (LLS). Frequency estimation is a nonlinear problem, and typically, methods such as Nonlinear Least Squares (NLS) (batch) or a…
Optimal state estimation for linear discrete-time systems is considered. Motivated by the literature on differential privacy, the measurements are assumed to be corrupted by Laplace noise. The optimal least mean square error estimate of the…
The paper is devoted to synthesis of recurrent algorithms for detection of stochastic signals given in state space. The structure of the algorithms synthesized is shown to be close to that of the Kalman filter. Analysis of one of the…
We address the optimal covariance steering (OCS) problem for stochastic discrete linear systems with additive Gaussian noise under state chance constraints and input hard constraints. Because the system state can be unbounded due to the…
A popular class of problem in statistics deals with estimating the support of a density from $n$ observations drawn at random from a $d$-dimensional distribution. The one-dimensional case reduces to estimating the end points of a univariate…
This paper considers the problem of robustly estimating a structured covariance matrix with an elliptical underlying distribution with known mean. In applications where the covariance matrix naturally possesses a certain structure, taking…
In this letter, we address the problem of estimating Gaussian noise level from the trained dictionaries in update stage. We first provide rigorous statistical analysis on the eigenvalue distributions of a sample covariance matrix. Then we…
Performance of regularized least-squares estimation in noisy compressed sensing is analyzed in the limit when the dimensions of the measurement matrix grow large. The sensing matrix is considered to be from a class of random ensembles that…
In this work, we revisit the problem of estimating the mean and covariance of an unknown $d$-dimensional Gaussian distribution in the presence of an $\varepsilon$-fraction of adversarial outliers. The pioneering work of [DKK+16] gave a…
This paper introduces a subspace method for the estimation of an array covariance matrix. It is shown that when the received signals are uncorrelated, the true array covariance matrices lie in a specific subspace whose dimension is…
This article investigates the problem of data-driven state estimation for linear systems with both unknown system dynamics and noise covariances. We propose an Autocovariance Least-squares-based Data-driven Kalman Filter (ADKF), which…
This paper considers a noisy data structure recovery problem. The goal is to investigate the following question: Given a noisy observation of a permuted data set, according to which permutation was the original data sorted? The focus is on…
Online joint estimation of unknown parameters and states in a dynamical system with uncertainty quantification is crucial in many applications. For example, digital twins dynamically update their knowledge of model parameters and states to…
This paper develops new analytical process noise covariance models for both absolute and relative spacecraft states. Process noise is always present when propagating a spacecraft state due to dynamics modeling deficiencies. Accurately…
In recent years, there has been remarkable progress in the development of so-called certifiable perception methods, which leverage semidefinite, convex relaxations to find global optima of perception problems in robotics. However, many of…
We propose a new recursive estimator for linear dynamical systems under Gaussian process noise and non-Gaussian measurement noise. Specifically, we develop an approximate maximum a posteriori (MAP) estimator using dynamic programming and…
In order to leverage the full power of quantum noise squeezing with unavoidable decoherence, a complete understanding of the degradation in the purity of squeezed light is demanded. By implementing machine learning architecture with a…