Related papers: Nonlinear Bayesian Update via Ensemble Kernel Regr…

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…

This paper deals with the identification of linear stochastic dynamical systems, where the unknowns include system coefficients and noise variances. Conventional approaches that rely on the maximum likelihood estimation (MLE) require…

The unscented Kalman filter is an algorithm capable of handling nonlinear scenarios. Uncertainty in process noise covariance may decrease the filter estimation performance or even lead to its divergence. Therefore, it is important to adjust…

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…

This paper presents a nonlinear mixing model for joint hyperspectral image unmixing and nonlinearity detection. The proposed model assumes that the pixel reflectances are linear combinations of known pure spectral components corrupted by an…

Natural images are often affected by random noise and image denoising has long been a central topic in Computer Vision. Many algorithms have been introduced to remove the noise from the natural images, such as Gaussian, Wiener filtering and…

In this paper, we employ variational arguments to establish a connection between ensemble methods for Neural Networks and Bayesian inference. We consider an ensemble-based scheme where each model/particle corresponds to a perturbation of…

In this contribution, we propose a kernel-based method for the identification of linear systems from noisy and incomplete input-output datasets. We model the impulse response of the system as a Gaussian process whose covariance matrix is…

A density estimation method in a Bayesian nonparametric framework is presented when recorded data are not coming directly from the distribution of interest, but from a length biased version. From a Bayesian perspective, efforts to…

Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman…

The ensemble Kalman filter (EnKF) is a data assimilation technique that uses an ensemble of models, updated with data, to track the time evolution of a usually non-linear system. It does so by using an empirical approximation to the…

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…

Kernel density estimation is a widely used nonparametric approach to estimate an unknown distribution. Recent work in Bayesian predictive inference has considered stochastic processes formed by specifying the predictive distribution for the…

Gaussian Processes (GPs) are powerful kernelized methods for non-parameteric regression used in many applications. However, their use is limited to a few thousand of training samples due to their cubic time complexity. In order to scale GPs…

This paper analyzes a popular computational framework to solve infinite-dimensional Bayesian inverse problems, discretizing the prior and the forward model in a finite-dimensional weighted inner product space. We demonstrate the benefit of…

Conventional research attributes the improvements of generalization ability of deep neural networks either to powerful optimizers or the new network design. Different from them, in this paper, we aim to link the generalization ability of a…

Data assimilation combines information from models, measurements, and priors to estimate the state of a dynamical system such as the atmosphere. The Ensemble Kalman filter (EnKF) is a family of ensemble-based data assimilation approaches…

We propose an affine-mapping based variational Ensemble Kalman filter for sequential Bayesian filtering problems with generic observation models. Specifically, the proposed method is formulated as to construct an affine mapping from the…

In this paper, we propose a novel algorithm for the identification of Hammerstein systems. Adopting a Bayesian approach, we model the impulse response of the unknown linear dynamic system as a realization of a zero-mean Gaussian process.…

Matrix completion aims to predict missing elements in a partially observed data matrix which in typical applications, such as collaborative filtering, is large and extremely sparsely observed. A standard solution is matrix factorization,…