Related papers: Quadratic Extended and Unscented Kalman Filter Upd…
We propose a new algorithm for an adaptive optics system control law, based on the Linear Quadratic Gaussian approach and a Kalman Filter adaptation with localizations. It allows to handle non-stationary behaviors, to obtain performance…
This note is devoted to deriving the measurement update of the geometric extended Kalman filter using the multiplicative extended Kalman filtering approach, resulting in the attitude estimator referred as geometric multiplicative extended…
We consider the problem of distributed Kalman filtering for sensor networks in the case there are constraints in data transmission and there is model uncertainty. More precisely, we propose two distributed filtering strategies with…
We propose a new robust filtering paradigm considering the situation in which model uncertainty, described through an ambiguity set, is present only in the observations. We derive the corresponding robust estimator, referred to as…
Unscented Kalman Filters (UKFs) have become popular in the research community. Most UKFs work only with Euclidean systems, but in many scenarios it is advantageous to consider systems with state-variables taking values on Riemannian…
We deal with the problem of the mean square optimal estimation of linear transformations of the unobserved values of a continuous time stochastic process with periodically correlated increments. Estimates are based on observations of the…
The kinematics of many systems encountered in robotics, mechatronics, and avionics are naturally posed on homogeneous spaces; that is, their state lies in a smooth manifold equipped with a transitive Lie group symmetry. This paper proposes…
The majority of data assimilation (DA) methods in the geosciences are based on Gaussian assumptions. While these assumptions facilitate efficient algorithms, they cause analysis biases and subsequent forecast degradations. Non-parametric,…
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…
Contemporary data assimilation often involves millions of prediction variables. The classical Kalman filter is no longer computationally feasible in such a high dimensional context. This problem can often be resolved by exploiting the…
Most Kalman filters for non-linear systems, such as the unscented Kalman filter, are based on Gaussian approximations. We use Poincar\'e inequalities to bound the Wasserstein distance between the true joint distribution of the prediction…
Data assimilation combines dynamical models with observations to improve state estimates. Ensemble filters sequentially assimilate observations by updating a set of samples over time, alternating between a forecast and an analysis step.…
We employ the variational formulation and the Euler-Lagrange equations to study the steady-state error in linear non-causal estimators (smoothers). We give a complete description of the steady-state error for inputs that are polynomial in…
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…
The Kalman filter combines forecasts and new observations to obtain an estimation which is optimal in the sense of a minimum average quadratic error. The Kalman filter has two main restrictions: (i) the dynamical system is assumed linear…
The application of neural networks in modeling dynamic systems has become prominent due to their ability to estimate complex nonlinear functions. Despite their effectiveness, neural networks face challenges in long-term predictions, where…
In this paper we propose a novel partition-based distributed state estimation scheme for non-overlapping subsystems based on Kalman filter. The estimation scheme is designed in order to account, in a rigorous fashion, for dynamic coupling…
This article examines state estimation in discrete-time nonlinear stochastic systems with finite-dimensional states and infinite-dimensional measurements, motivated by real-world applications such as vision-based localization and tracking.…
In this paper, in order to enhance the numerical stability of the unscented Kalman filter (UKF) used for power system dynamic state estimation, a new UKF with guaranteed positive semidifinite estimation error covariance (UKF-GPS) is…
The Gaussian Filter (GF) is one of the most widely used filtering algorithms; instances are the Extended Kalman Filter, the Unscented Kalman Filter and the Divided Difference Filter. GFs represent the belief of the current state by a…