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In this article, we introduce decentralized Kalman filters for linear quadratic deep structured teams. The agents in deep structured teams are coupled in dynamics, costs and measurements through a set of linear regressions of the states and…
The design of unknown-input decoupled observers and filters requires the assumption of an existence condition in the literature. This paper addresses an unknown input filtering problem where the existence condition is not satisfied. Instead…
Many systems for which compressive sensing is used today are dynamical. The common approach is to neglect the dynamics and see the problem as a sequence of independent problems. This approach has two disadvantages. Firstly, the temporal…
We study a distributed Kalman filtering problem in which a number of nodes cooperate without central coordination to estimate a common state based on local measurements and data received from neighbors. This is typically done by running a…
Despite the cheap availability of computing resources enabling faster Monte Carlo simulations, the potential benefits of particle filtering in revealing accurate statistical information on the imprecisely known model parameters or modeling…
The state estimation problem for nonlinear systems with stochastic uncertainties can be formulated in the Bayesian framework, where the objective is to replace the state completely by its probability density function. Without the…
State estimation and sensor selection problems for nonlinear networks and systems are ubiquitous problems that are important for the control, monitoring, analysis, and prediction of a large number of engineered and physical systems. Sensor…
We propose a method for inference on moderately high-dimensional, nonlinear, non-Gaussian, partially observed Markov process models for which the transition density is not analytically tractable. Markov processes with intractable transition…
We present a variational algorithm for fault tolerant quantum computing to solve a system of linear equations which directly maximises the parameters of the target fidelity. This so-called measurement test algorithm can be applied to any…
This paper presents an adaptive Kalman filter for a linear dynamic system perturbed by an additive disturbance. The objective is to estimate both of the state and the unknown disturbance concurrently, while learning the disturbance as a…
Nonlinear extensions of the Kalman filter (KF), such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), are indispensable for state estimation in complex dynamical systems, yet the conditions for a nonlinear KF to…
Real-time nonlinear Bayesian filtering algorithms are overwhelmed by data volume, velocity and increasing complexity of computational models. In this paper, we propose a novel ensemble based nonlinear Bayesian filtering approach which only…
Choosing a nonlinear state estimator for an application often involves a trade-off between local optimality (such as provided by an extended Kalman filter) and (almost-/semi-) global asymptotic stability (such as provided by a constructive…
We propose a new class of filtering and smoothing methods for inference in high-dimensional, nonlinear, non-Gaussian, spatio-temporal state-space models. The main idea is to combine the ensemble Kalman filter and smoother, developed in the…
We derive a novel, provably robust, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models. Our method combines generalised Bayesian inference with…
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,…
Estimating the state of a dynamical system from partial and noisy observations is a ubiquitous problem in a large number of applications, such as probabilistic weather forecasting and prediction of epidemics. Particle filters are a widely…
Object detectors are at the heart of many semi- and fully autonomous decision systems and are poised to become even more indispensable. They are, however, still lacking in accessibility and can sometimes produce unreliable predictions.…
We consider the problem of pointwise estimation of multi-dimensional signals $s$, from noisy observations $(y_\tau)$ on the regular grid $\bZd$. Our focus is on the adaptive estimation in the case when the signal can be well recovered using…
This paper introduces two new algorithms to accurately estimate the process noise covariance of a discrete-time Kalman filter online for robust orbit determination in the presence of dynamics model uncertainties. Common orbit determination…