Related papers: The Kalman Evolve: Closing the Gap in Kalman Filte…

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…

Kalman filter is a key tool for time-series forecasting and analysis. We show that the dependence of a prediction of Kalman filter on the past is decaying exponentially, whenever the process noise is non-degenerate. Therefore, Kalman filter…

The Kalman filter computes the optimal variable-gain using prior knowledge of the initial state and random (process and measurement) noise distributions, which are assumed to be Gaussian with known variance. However, when these…

The Kalman filter (KF) is one of the most widely used tools for data assimilation and sequential estimation. In this work, we show that the state estimates from the KF in a standard linear dynamical system setting are equivalent to those…

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…

Fueled by applications in sensor networks, these years have witnessed a surge of interest in distributed estimation and filtering. A new approach is hereby proposed for the Distributed Kalman Filter (DKF) by integrating a local covariance…

We present a new calibration scheme based on a non-linear version of Kalman filter that aims at estimating the physical terms appearing in the Radio Interferometry Measurement Equation (RIME). We enrich the filter's structure with a tunable…

Estimating and detecting faults is crucial in ensuring safe and efficient automated systems. In the presence of disturbances, noise or varying system dynamics, such estimation is even more challenging. To address this challenge, this…

This paper introduces a novel approach to detect and address faulty or corrupted external sensors in the context of inertial navigation by leveraging a switching Kalman Filter combined with parameter augmentation. Instead of discarding the…

Kalman filter is widely used for residual generation in fault detection. It leads to optimality in fault detection using some performance indices and also leads to statistically sound residual evaluation and threshold setting. This paper…

This paper investigates the distributionally robust filtering of signals generated by state-space models driven by exogenous disturbances with noisy observations in finite and infinite horizon scenarios. The exact joint probability…

Common filters are usually based on the linear approximation of the optimal minimum mean square error estimator. The Extended and Unscented Kalman Filters handle nonlinearity through linearization and unscented transformation, respectively,…

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…

State estimation of dynamical systems from noisy observations is a fundamental task in many applications. It is commonly addressed using the linear Kalman filter (KF), whose performance can significantly degrade in the presence of outliers…

This paper is concerned with the problem of distributed Kalman filtering in a network of interconnected subsystems with distributed control protocols. We consider networks, which can be either homogeneous or heterogeneous, of linear…

This paper addresses the problem of nonlinear state estimation for dynamical systems whose governing equations are approximated through Koopman operator liftings. While Koopman-based predictors have demonstrated broad approximation…

This research enhances linear regression models by integrating a Kalman filter and analysing curve areas to minimize loss. The goal is to develop an optimal linear regression equation using stochastic gradient descent (SGD) for weight…

Filtering is concerned with online estimation of the state of a dynamical system from partial and noisy observations. In applications where the state of the system is high dimensional, ensemble Kalman filters are often the method of choice.…

To obtain the accurate transient states of the big scale natural gas pipeline networks under the bad data and non-zero mean noises conditions, a robust Kalman filter-based dynamic state estimation method is proposed using the linearized gas…

This paper considers the problem of fitting the parameters of a Kalman smoother to data. We formulate the Kalman smoothing problem with missing measurements as a constrained least squares problem and provide an efficient method to solve it…