Related papers: The Kalman-Levy filter

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 the previous paper an adaptive filtering based on a reference recursive recipe was developed and tested on a simulated dynamics of a spring, mass, and damper with a weak nonlinear spring. In this paper the above recipe is applied to a…

The Derivative-free nonlinear Kalman Filter is proposed for state estimation and fault diagnosis in distributed parameter systems and particularly in dynamical systems described by partial differential equations of the nonlinear wave type.…

Prediction error and maximum likelihood methods are powerful tools for identifying linear dynamical systems and, in particular, enable the joint estimation of model parameters and the Kalman filter used for state estimation. A key…

We study filtering of multiscale dynamical systems with model error arising from unresolved smaller scale processes. The analysis assumes continuous-time noisy observations of all components of the slow variables alone. For a linear model…

The fusion between an inertial navigation system and global navigation satellite systems is regularly used in many platforms such as drones, land vehicles, and marine vessels. The fusion is commonly carried out in a model-based extended…

The models of partially observed linear stochastic differential equations with unknown initial values of the non-observed component are considered in two situations. In the first problem, the initial value is deterministic, and in the…

This paper is concerned with a generalized Kalman-Bucy filtering model and corresponding robust problem under model uncertainty. We find that this robust problem is equivalent to considering an estimate problem under some sublinear…

Autonomous platforms require accurate positioning to complete their tasks. To this end, a Kalman filter-based algorithms, such as the extended Kalman filter or invariant Kalman filter, utilizing inertial and external sensor fusion are…

In this paper, we study a generalized Kalman-Bucy filtering problem under uncertainty. The drift uncertainty for both signal process and observation process is considered and the attitude to uncertainty is characterized by a convex operator…

Bayesian filtering approximates the true underlying behavior of a time-varying system by inverting an explicit generative model to convert noisy measurements into state estimates. This process typically requires either storage, inversion,…

Cloud platforms have become essential in rapidly deploying application systems online to serve large numbers of users. Resource estimation and workload forecasting are critical in cloud data centers. Complexity in the cloud provider…

Have you ever felt miserable because of a sudden whipsaw in the price that triggered an unfortunate trade? In an attempt to remove this noise, technical analysts have used various types of moving averages (simple, exponential, adaptive one…

Kalman Filters (KF) are fundamental to real-time state estimation applications, including radar-based tracking systems used in modern driver assistance and safety technologies. In a linear dynamical system with Gaussian noise distributions…

We consider the problem of estimating a continuous-time Gauss-Markov source process observed through a vector Gaussian channel with an adjustable channel gain matrix. For a given (generally time-varying) channel gain matrix, we provide…

We consider Bayesian inference for large scale inverse problems, where computational challenges arise from the need for repeated evaluations of an expensive forward model. This renders most Markov chain Monte Carlo approaches infeasible,…

This paper develops a new filtering approach for state estimation in polynomial systems corrupted by arbitrary noise, which commonly arise in robotics. We first consider a batch setup where we perform state estimation using all data…

We consider the problem of steering, via output feedback, the state distribution of a discrete-time, linear stochastic system from an initial Gaussian distribution to a terminal Gaussian distribution with prescribed mean and maximum…

Kalman filtering is a widely used framework for Bayesian estimation. The partitioned update Kalman filter applies a Kalman filter update in parts so that the most linear parts of measurements are applied first. In this paper, we generalize…

The Recursive KalmanNet, recently introduced by the authors, is a recurrent neural network guided by a Kalman filter, capable of estimating the state variables and error covariance of stochastic dynamic systems from noisy measurements,…