Related papers: Max Entropy Moment Kalman Filter for Polynomial Sy…

In many physical applications, the system's state varies with spatial variables as well as time. The state of such systems is modelled by partial differential equations and evolves on an infinite-dimensional space. Systems modelled by…

The Ensemble Kalman Filters (EnKF) employ a Monte-Carlo approach to represent covariance information, and are affected by sampling errors in operational settings where the number of model realizations is much smaller than the model state…

The ensemble Kalman filter (EnKF) has become a standard methodology for state estimation in high-dimensional systems, yet its various stochastic and deterministic formulations often appear conceptually disconnected. In this paper, a unified…

While the tracking of multiple extended targets demands for sophisticated algorithms to handle the high complexity inherent to the task, it also requires low runtime for online execution in real-world scenarios. In this work, we derive a…

Maximum entropy principle (MEP) offers an effective and unbiased approach to inferring unknown probability distributions when faced with incomplete information, while neural networks provide the flexibility to learn complex distributions…

Data assimilation (DA) aims to optimally combine model forecasts and observations that are both partial and noisy. Multi-model DA generalizes the variational or Bayesian formulation of the Kalman filter, and we prove that it is also the…

This paper tackles the intricate task of jointly estimating state and parameters in data assimilation for stochastic dynamical systems that are affected by noise and observed only partially. While the concept of ``optimal filtering'' serves…

Generating samples from limited information is a fundamental problem across scientific domains. Classical maximum entropy methods provide principled uncertainty quantification from moment constraints but require sampling via MCMC or…

This paper derives the extended Kalman filter (EKF) for continuous-time systems on matrix Lie groups observed through discrete-time measurements. By modeling the system noise on the Lie algebra and adopting a Stratonovich interpretation for…

The Kalman Filter (KF) parameters are traditionally determined by noise estimation, since under the KF assumptions, the state prediction errors are minimized when the parameters correspond to the noise covariance. However, noise estimation…

The extended Kalman filter (EKF) is a widely adopted method for sensor fusion in navigation applications. A crucial aspect of the EKF is the online determination of the process noise covariance matrix reflecting the model uncertainty. While…

In this paper, we propose a robust Kalman filtering framework for systems with probabilistic uncertainty in system parameters. We consider two cases, namely discrete time systems, and continuous time systems with discrete measurements. The…

This paper focuses on the state estimation problem in distributed sensor networks, where intermittent packet dropouts, corrupted observations, and unknown noise covariances coexist. To tackle this challenge, we formulate the joint…

Kalman filters constitute a scalable and robust methodology for approximate Bayesian inference, matching first and second order moments of the target posterior. To improve the accuracy in nonlinear and non-Gaussian settings, we extend this…

This paper proves that the Epistemic Support-Point Filter (ESPF) is the unique optimal recursive estimator within the class of epistemically admissible evidence-only filters. Where Bayesian filters minimize mean squared error and are driven…

Modern autonomous systems are purposed for many challenging scenarios, where agents will face unexpected events and complicated tasks. The presence of disturbance noise with control command and unknown inputs can negatively impact robot…

The ensemble Kalman filter (EnKF) is a Monte Carlo approximation of the Kalman filter for high dimensional linear Gaussian state space models. EnKF methods have also been developed for parameter inference of static Bayesian models with a…

In real applications, non-Gaussian distributions are frequently caused by outliers and impulsive disturbances, and these will impair the performance of the classical cubature Kalman filter (CKF) algorithm. In this letter, a modified…

Accurate modeling and prediction of complex physical systems often rely on data assimilation techniques to correct errors inherent in model simulations. Traditional methods like the Ensemble Kalman Filter (EnKF) and its variants as well as…

Bayesian optimization (BO) is a model-based approach to sequentially optimize expensive black-box functions, such as the validation error of a deep neural network with respect to its hyperparameters. In many real-world scenarios, the…