Related papers: A Data-Consistent Approach to Ensemble Filtering

Empirical risk minimization (ERM) with a computationally feasible surrogate loss is a widely accepted approach for classification. Notably, the convexity and calibration (CC) properties of a loss function ensure consistency of ERM in…

Continuous improvement in medical imaging techniques allows the acquisition of higher-resolution images. When these are used in a predictive setting, a greater number of explanatory variables are potentially related to the dependent…

State estimation that combines observational data with mathematical models is central to many applications and is commonly addressed through filtering methods, such as ensemble Kalman filters. In this article, we examine the signal-tracking…

This paper extends the ensemble Kalman filter (EnKF) for inverse problems to identify trending model coefficients. This is done by repeatedly inflating the ensemble while maintaining the mean of the particles. As a benchmark serves a…

In this article we propose and develop a new methodology which is inspired from Kalman filtering and multilevel Monte Carlo (MLMC), entitle the multilevel localized ensemble Kalman--Bucy Filter (MLLEnKBF). Based on the work of Chada et al.…

This paper studies the distributed state estimation problem for a class of discrete time-varying systems over sensor networks. Firstly, it is shown that a networked Kalman filter with optimal gain parameter is actually a centralized filter,…

Recently ensemble selection for consensus clustering has emerged as a research problem in Machine Intelligence. Normally consensus clustering algorithms take into account the entire ensemble of clustering, where there is a tendency of…

In this paper, we investigate the inconsistency problem arising from observability mismatch that frequently occurs in nonlinear systems such as multi-robot cooperative localization and simultaneous localization and mapping. For a general…

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…

A square root approach is considered for the problem of accounting for model noise in the forecast step of the ensemble Kalman filter (EnKF) and related algorithms. The primary aim is to replace the method of simulated, pseudo-random,…

A new ensemble filter that allows for the uncertainty in the prior distribution is proposed and tested. The filter relies on the conditional Gaussian distribution of the state given the model-error and predictability-error covariance…

This paper presents an innovative Reduced-Order Model (ROM) for merging experimental and simulation data using Data Assimilation (DA) to estimate the "True" state of a fluid dynamics system, leading to more accurate predictions. Our…

The ensemble Kalman filter (EnKF) is a Monte Carlo approximation of the Kalman filter for high dimensional linear Gaussian state space models. EnKF methods have also been developed for parameter inference of static Bayesian models with a…

In this work, we study the emergence of sparsity and multiway structures in second-order statistical characterizations of dynamical processes governed by partial differential equations (PDEs). We consider several state-of-the-art multiway…

We consider the filtering problem with the partially observed Lorenz 96 model. Although the accuracy of the 3DVar filter in this problem has been established, the theoretical guarantee for the ensemble Kalman filter (EnKF) remains limited…

Inconsistency issue is one crucial challenge for the performance of extended Kalman filter (EKF) based methods for state estimation problems, which is mainly affected by the discrepancy of observability between the EKF model and the…

Principal component analysis (PCA) is a dimensionality reduction method in data analysis that involves diagonalizing the covariance matrix of the dataset. Recently, quantum algorithms have been formulated for PCA based on diagonalizing a…

This work develops a new multifidelity ensemble Kalman filter (MFEnKF) algorithm based on linear control variate framework. The approach allows for rigorous multifidelity extensions of the EnKF, where the uncertainty in coarser fidelities…

Observers for systems with Lie group symmetries are an active area of research that is seeing significant impact in a number of practical domains, including aerospace, robotics, and mechatronics. This paper builds on the theory of the…

In this article we consider the application of multilevel Monte Carlo, for the estimation of normalizing constants. In particular we will make use of the filtering algorithm, the ensemble Kalman-Bucy filter (EnKBF), which is an N-particle…