Related papers: Kalman-Bucy Filtering with Randomized Sensing: Fun…

We consider the problem of randomly choosing the sensors of a linear time-invariant dynamical system subject to process and measurement noise. We sample the sensors independently and from the same distribution. We measure the performance of…

Studying the stability of the Kalman filter whose measurements are randomly lost has been an active research topic for over a decade. In this paper we extend the existing results to a far more general setting in which the measurement…

In this paper, we focus on sensor placement in linear dynamic estimation, where the objective is to place a small number of sensors in a system of interdependent states so to design an estimator with a desired estimation performance. In…

In this article, we complement recent results on the convergence of the state estimate obtained by applying the discrete-time Kalman filter on a time-sampled continuous-time system. As the temporal discretization is refined, the estimate…

In this paper we are concerned with the error-covariance lower-bounding problem in Kalman filtering: a sensor releases a set of measurements to the data fusion/estimation center, which has a perfect knowledge of the dynamic model, to allow…

In this work, we consider a sensor selection drawn at random by a sampling with replacement policy for a linear time-invariant dynamical system subject to process and measurement noise. We employ the Kalman filter to estimate the state of…

The ensemble Kalman filter has become a popular data assimilation technique in the geosciences. However, little is known theoretically about its long term stability and accuracy. In this paper, we investigate the behavior of an ensemble…

The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of…

Robustness and adaptivity are two competing objectives in Kalman filters (KF). Robustness involves temporarily inflating prior estimates of noise covariances, while adaptivity updates prior beliefs by exploiting measurements. In practical…

In this work, we address the problem of sensor selection for state estimation via Kalman filtering. We consider a linear time-invariant (LTI) dynamical system subject to process and measurement noise, where the sensors we use to perform…

In this paper, we propose an approach to address the problems with ambiguity in tuning the process and observation noises for a discrete-time linear Kalman filter. Conventional approaches to tuning (e.g. using normalized estimation error…

This article develops a comprehensive framework for stability analysis of a broad class of commonly used continuous and discrete time-filters for stochastic dynamic systems with non-linear state dynamics and linear measurements under…

State estimation is a fundamental problem in control and signal processing, for which the Kalman Filter provides an optimal solution under linear dynamics, Gaussian noise, and known noise covariances. However, these assumptions often fail…

This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…

The Kalman filter is an established tool for the analysis of dynamic systems with normally distributed noise, and it has been successfully applied in numerous application areas. It provides sequentially calculated estimates of the system…

Identifying parameters in a system of nonlinear, ordinary differential equations is vital for designing a robust controller. However, if the system is stochastic in its nature or if only noisy measurements are available, standard…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…

This report provides a brief historical evolution of the concepts in the Kalman filtering theory since ancient times to the present. A brief description of the filter equations its aesthetics, beauty, truth, fascinating perspectives and…

The paper deals with decentralized state estimation for spatially distributed systems described by linear partial differential equations from discrete in-space-and-time noisy measurements provided by sensors deployed over the spatial domain…

The Kalman filter is a fundamental filtering algorithm that fuses noisy sensory data, a previous state estimate, and a dynamics model to produce a principled estimate of the current state. It assumes, and is optimal for, linear models and…