相关论文: On the convergence of a Risk Sensitive like Filter

We characterize the invariant filtering measures resulting from Kalman filtering with intermittent observations (\cite{Bruno}), where the observation arrival is modeled as a Bernoulli process. In \cite{Riccati-weakconv}, it was shown that…

This paper considers the approximation of the continuous time filtering equation for the case of a multiple timescale (slow-intermediate, and fast scales) that may have correlation between the slow-intermediate process and the observation…

We present an analysis of ensemble Kalman inversion, based on the continuous time limit of the algorithm. The analysis of the dynamical behaviour of the ensemble allows us to establish well-posedness and convergence results for a fixed…

We consider particle filters with weakly informative observations (or `potentials') relative to the latent state dynamics. The particular focus of this work is on particle filters to approximate time-discretisations of continuous-time…

In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…

We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size…

The well-known Kalman filters model dynamical systems by relying on state-space representations with the next state updated, and its uncertainty controlled, by fresh information associated with newly observed system outputs. This paper…

We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…

This paper studies value iteration for infinite horizon contracting Markov decision processes under convexity assumptions and when the state space is uncountable. The original value iteration is replaced with a more tractable form and the…

We study quantile trend filtering, a recently proposed method for nonparametric quantile regression with the goal of generalizing existing risk bounds known for the usual trend filtering estimators which perform mean regression. We study…

Reinforcement learning is commonly used with function approximation. However, very few positive results are known about the convergence of function approximation based RL control algorithms. In this paper we show that TD(0) and Sarsa(0)…

We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by "controlled" Markov noise. In particular, the faster and slower recursions have non-additive controlled Markov noise…

We cast Amari's natural gradient in statistical learning as a specific case of Kalman filtering. Namely, applying an extended Kalman filter to estimate a fixed unknown parameter of a probabilistic model from a series of observations, is…

This technical report is concerned with the convergence properties of what we call the split optimal policy iteration for coupled LQR problems; see section 3.1 in the manuscript. Interestingly, the iteration shows different convergence…

Robustness and adaptivity are two competing objectives in Kalman filters (KF). Robustness involves temporarily inflating prior estimates of noise covariances, while adaptivity updates prior beliefs by exploiting measurements. In practical…

We examine the problem of time delay estimation, or temporal calibration, in the context of multisensor data fusion. Differences in processing intervals and other factors typically lead to a relative delay between measurement updates from…

This article introduces the sequential Kalman filter, a computationally scalable approach for online changepoint detection with temporally correlated data. The temporal correlation was not considered in the Bayesian online changepoint…

We describe a procedure based on the iteration of an initial function by an appropriated operator, acting on continuous functions, in order to get a fixed point. This fixed point will be a calibrated subaction for the doubling map on the…

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…

Motivated by reduction of computational complexity, this work develops sign-error adaptive filtering algorithms for estimating time-varying system parameters. Different from the previous work on sign-error algorithms, the parameters are…