Related papers: Distributionally Robust Kalman Filter
This paper considers the simultaneous state and unknown input estimation for continuous-discrete stochastic systems. Two types of approaches (with and without modeling of unknown inputs) which can address this issue are investigated. A…
This paper investigates the finite-horizon distributionally robust mixed-integer control (DRMIC) of uncertain linear systems. However, deriving an optimal causal feedback control policy to this DRMIC problem is computationally formidable…
To address PMU vulnerability against spoofing, we propose a set-valued state estimation technique known as Stochastic Reachability-based Distributed Kalman Filter (SR-DKF) that computes secure GPS timing across a network of receivers.…
This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time optimal control problems where the controller \emph{jointly}…
This letter explores covariance matching-based adaptive robust cubature Kalman filter (CMRACKF). In this method, the innovation sequence is used to determine the covariance matrix of measurement noise that can overcome the limitation of…
We consider the problem of robust estimation involving filtering and smoothing for nonlinear state space models which are disturbed by heavy-tailed impulsive noises. To deal with heavy-tailed noises and improve the robustness of the…
Distributionally robust supervised learning (DRSL) is emerging as a key paradigm for building reliable machine learning systems for real-world applications -- reflecting the need for classifiers and predictive models that are robust to 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…
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…
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.…
We consider optimal signalling and control of discrete-time nonlinear partially observable stochastic systems in state space form. In the first part of the paper, we characterize the operational {\it control-coding capacity}, $C_{FB}$ in…
Natural disasters, such as hurricanes and typhoons, pose significant challenges to public safety and infrastructure. While government agencies rely on multi million dollar UAV systems for storm data collection and disaster response, smaller…
A new class of iterated linearization-based nonlinear filters, dubbed dynamically iterated filters, is presented. Contrary to regular iterated filters such as the iterated extended Kalman filter (IEKF), iterated unscented Kalman filter…
We explore the infinite-horizon Distributionally Robust (DR) linear-quadratic control. While the probability distribution of disturbances is unknown and potentially correlated over time, it is confined within a Wasserstein-2 ball of a…
Dereverberation of a moving speech source in the presence of other directional interferers, is a harder problem than that of stationary source and interference cancellation. We explore joint multi channel linear prediction (MCLP) and…
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…
State estimation of dynamical systems in real-time is a fundamental task in signal processing. For systems that are well-represented by a fully known linear Gaussian state space (SS) model, the celebrated Kalman filter (KF) is a low…
For consensus on measurement-based distributed filtering (CMDF), through infinite consensus fusion operations during each sampling interval, each node in the sensor network can achieve optimal filtering performance with centralized…
This work proposes a resilient and adaptive state estimation framework for robots operating in perceptually-degraded environments. The approach, called Adaptive Maximum Correntropy Criterion Kalman Filtering (AMCCKF), is inherently robust…
Forecasting driving behavior or other sensor measurements is an essential component of autonomous driving systems. Often real-world multivariate time series data is hard to model because the underlying dynamics are nonlinear and the…