相关论文: On Disturbance State-Space Models and the Particle…

Particle Marginal Metropolis-Hastings (PMMH) is a general approach to Bayesian inference when the likelihood is intractable, but can be estimated unbiasedly. Our article develops an efficient PMMH method that scales up better to higher…

We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of…

The article is devoted to the problem of synthesis of observers of state variables for linear stationary objects operating under conditions of noise or disturbances in the measurement channel. The paper considers a fully observable linear…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…

Filtering and smoothing algorithms for linear discrete-time state-space models with skewed and heavy-tailed measurement noise are presented. The algorithms use a variational Bayes approximation of the posterior distribution of models that…

We propose a method for inference on moderately high-dimensional, nonlinear, non-Gaussian, partially observed Markov process models for which the transition density is not analytically tractable. Markov processes with intractable transition…

A state-space model is a time-series model that has an unobserved latent process from which we take noisy measurements over time. The observations are conditionally independent given the latent process and the latent process itself is…

In this paper, we study the problem of estimating the state of a dynamic state-space system where the output is subject to quantization. We compare some classical approaches and a new development in the literature to obtain the filtering…

Our article deals with Bayesian inference for a general state space model with the simulated likelihood computed by the particle filter. We show empirically that the partially or fully adapted particle filters can be much more efficient…

Estimation of a dynamical system's latent state subject to sensor noise and model inaccuracies remains a critical yet difficult problem in robotics. While Kalman filters provide the optimal solution in the least squared sense for linear and…

Data-driven, model-free analytics are natural choices for discovery and forecasting of complex, nonlinear systems. Methods that operate in the system state-space require either an explicit multidimensional state-space, or, one approximated…

Nonlinear model predictive control has become a popular approach to deal with highly nonlinear and unsteady state systems, the performance of which can however deteriorate due to unaccounted uncertainties. Model predictive control is…

State-space models are a popular statistical framework for analysing sequential data. Within this framework, particle filters are often used to perform inference on non-linear state-space models. We introduce a new method, StateMixNN, that…

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 article discusses a partially adapted particle filter for estimating the likelihood of a nonlinear structural econometric state space models whose state transition density cannot be expressed in closed form. The filter generates the…

Probabilistic modeling provides the capability to represent and manipulate uncertainty in data, models, predictions and decisions. We are concerned with the problem of learning probabilistic models of dynamical systems from measured data.…

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…

This tutorial provides a gentle introduction to the particle Metropolis-Hastings (PMH) algorithm for parameter inference in nonlinear state-space models together with a software implementation in the statistical programming language R. We…

We combine conditional state density construction with an extension of the Scenario Approach for stochastic Model Predictive Control to nonlinear systems to yield a novel particle-based formulation of stochastic nonlinear output-feedback…

We consider the problem of inference for nonlinear, multivariate diffusion processes, satisfying It\^o stochastic differential equations (SDEs), using data at discrete times that may be incomplete and subject to measurement error. Our…