相关论文: Kalman Filtering in the Presence of State Space Eq…

Kalman Filtering problems often have inherent and known constraints in the physical dynamics that are not exploited despite potentially significant gains (e.g., fixed speed of a motor). In this paper, we review existing methods and propose…

Both constrained and unconstrained optimization problems regularly appear in recursive tracking problems engineers currently address -- however, constraints are rarely exploited for these applications. We define the Kalman Filter and…

Ensemble Kalman methods constitute an increasingly important tool in both state and parameter estimation problems. Their popularity stems from the derivative-free nature of the methodology which may be readily applied when computer code is…

The real-world applications in signal processing generally involve estimating the system state or parameters in nonlinear, non-Gaussian dynamic systems. The estimation problem may get even more challenging when there are physical…

The Ensemble Kalman Filter method can be used as an iterative particle numerical scheme for state dynamics estimation and control--to--observable identification problems. In applications it may be required to enforce the solution to satisfy…

The Kalman filter and its extensions are used in a vast number of aerospace and navigation applications for nonlinear state estimation of time series. In the literature, different approaches have been proposed to exploit the structure of…

In this paper, we present the optimization formulation of the Kalman filtering and smoothing problems, and use this perspective to develop a variety of extensions and applications. We first formulate classic Kalman smoothing as a least…

This paper concerns Kalman filtering when the measurements of the process are censored. The censored measurements are addressed by the Tobit model of Type I and are one-dimensional with two censoring limits, while the (hidden) state vectors…

Kalman filtering is a classic state estimation technique used in application areas such as signal processing and autonomous control of vehicles. It is now being used to solve problems in computer systems such as controlling the voltage and…

The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian L\'evy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian…

We study the problem of optimal estimation and control of linear systems using quantized measurements, with a focus on applications over sensor networks. We show that the state conditioned on a causal quantization of the measurements can be…

In this paper, we propose a robust Kalman filtering framework for systems with probabilistic uncertainty in system parameters. We consider two cases, namely discrete time systems, and continuous time systems with discrete measurements. The…

Accurate state estimates are required for increasingly complex systems, to enable, for example, feedback control. However, available state estimation schemes are not necessarily real-time feasible for certain large-scale systems. Therefore,…

State estimation when only a partial model of a considered system is available remains a major challenge in many engineering fields. This work proposes a joint, square-root unscented Kalman filter to estimate states and model uncertainties…

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.…

Kalman filtering has been traditionally applied in three application areas of estimation, state estimation, parameter estimation (a.k.a. model updating), and dual estimation. However, Kalman filter is often not sufficient when experimenting…

This paper presents a new filter for state-space models based on Bellman's dynamic-programming principle, allowing for nonlinearity, non-Gaussianity and degeneracy in the observation and/or state-transition equations. The resulting Bellman…

Using observation data to estimate unknown parameters in computational models is broadly important. This task is often challenging because solutions are non-unique due to the complexity of the model and limited observation data. However,…

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…

Geometry of the state space is known to play a crucial role in many applications of Kalman filters, especially robotics and motion tracking. The Lie group-centric approach is currently very common, although a Riemannian approach has also…