Related papers: Learning Kalman Policy for Singular Unknown Covari…
This paper investigates the use of extended Kalman filtering to train recurrent neural networks with rather general convex loss functions and regularization terms on the network parameters, including $\ell_1$-regularization. We show that…
The Kalman filter (KF) is an optimal linear state estimator for linear systems, and numerous extensions, including the extended Kalman filter (EKF), unscented Kalman filter (UKF), and cubature Kalman filter (CKF), have been developed for…
In this work, we present methods for state estimation in continuous-discrete nonlinear systems involving stochastic differential equations. We present the extended Kalman filter, the unscented Kalman filter, the ensemble Kalman filter, and…
Modern autonomous navigation for unmanned ground vehicles relies on different estimators to fuse inertial sensors and GNSS measurements. However, the constant noise covariance matrices often struggle to account for dynamic real-world…
We propose an inexact optimization algorithm on Riemannian manifolds, motivated by quadratic discrimination tasks in high-dimensional, low-sample-size (HDLSS) imaging settings. In such applications, gradient evaluations are often biased due…
We look at a stochastic time-varying optimization problem and we formulate online algorithms to find and track its optimizers in expectation. The algorithms are derived from the intuition that standard prediction and correction steps can be…
Structural identification and damage detection can be generalized as the simultaneous estimation of input forces, physical parameters, and dynamical states. Although Kalman-type filters are efficient tools to address this problem, the…
Many state estimation algorithms must be tuned given the state space process and observation models, the process and observation noise parameters must be chosen. Conventional tuning approaches rely on heuristic hand-tuning or gradient-based…
One of the fundamental challenges for offline reinforcement learning (RL) is ensuring robustness to data distribution. Whether the data originates from a near-optimal policy or not, we anticipate that an algorithm should demonstrate its…
This paper describes a method for the online state estimation of systems described by a general class of linear noncausal time-varying difference descriptor equations subject to uncertainties. The method is based on the notions of a linear…
The advantage function is a central concept in RL that helps reduce variance in policy gradient estimates. For language modeling, Group Relative Policy Optimization (GRPO) was proposed to use the within-group sample mean as a baseline for…
This paper investigates waveform estimation (tracking) of the time-varying force in a two-level optomechanical system with backaction noise by Kalman filtering. It is assumed that the backaction and measurement noises are Gaussian and…
We demonstrate optimal state estimation for a cavity optomechanical system through Kalman filtering. By taking into account nontrivial experimental noise sources, such as colored laser noise and spurious mechanical modes, we implement a…
In this paper, we consider the problem of predicting observations generated online by an unknown, partially observed linear system, which is driven by stochastic noise. For such systems the optimal predictor in the mean square sense is the…
Nonlinear control systems with partial information to the decision maker are prevalent in a variety of applications. As a step toward studying such nonlinear systems, this work explores reinforcement learning methods for finding the optimal…
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…
The unscented Kalman filter is a nonlinear estimation algorithm commonly used in navigation applications. The prediction of the mean and covariance matrix is crucial to the stable behavior of the filter. This prediction is done by…
The extended Kalman filter (EKF) is a cornerstone of nonlinear state estimation, yet its performance is fundamentally limited by noise-model mismatch and linearization errors. We develop a residual-aware distributionally robust EKF that…
In optimal control problem, policy iteration (PI) is a powerful reinforcement learning (RL) tool used for designing optimal controller for the linear systems. However, the need for an initial stabilizing control policy significantly limits…
In this paper, we propose control-theoretic methods as tools for the design of online optimization algorithms that are able to address dynamic, noisy, and partially uncertain time-varying quadratic objective functions. Our approach…