相关论文: On the Stability of Kalman-Bucy Diffusion Processe…
We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply the original Ensemble Kalman Filter algorithm proposed by…
Using the recently developed Sinkhorn algorithm for approximating the Wasserstein distance between probability distributions represented by Monte Carlo samples, we demonstrate exponential filter stability of two commonly used nonlinear…
The Kalman filter is an algorithm for the estimation of hidden variables in dynamical systems under linear Gauss-Markov assumptions with widespread applications across different fields. Recently, its Bayesian interpretation has received a…
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…
In [1], Sinopoli et al. analyze the problem of optimal estimation for linear Gaussian systems where packets containing observations are dropped according to an i.i.d. Bernoulli process, modeling a memoryless erasure channel. In this case…
In this article we consider the application of multilevel Monte Carlo, for the estimation of normalizing constants. In particular we will make use of the filtering algorithm, the ensemble Kalman-Bucy filter (EnKBF), which is an N-particle…
State estimation is a fundamental problem in control and signal processing, for which the Kalman Filter provides an optimal solution under linear dynamics, Gaussian noise, and known noise covariances. However, these assumptions often fail…
The paper deals with decentralized state estimation for spatially distributed systems described by linear partial differential equations from discrete in-space-and-time noisy measurements provided by sensors deployed over the spatial domain…
This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization…
The unscented Kalman filter is a nonlinear estimation algorithm commonly used in navigation applications. The prediction of the mean and covariance matrix is crucial to the stable behavior of the filter. This prediction is done by…
Bayesian inference provides a principled way of estimating the parameters of a stochastic process that is observed discretely in time. The overdamped Brownian motion of a particle confined in an optical trap is generally modelled by the…
The choice of the location of controllers and observations is of great importance for designing control systems and improving the estimations in various practical problems. For time-varying systems in Hilbert spaces, the existence and…
An optimal estimator of quantum states based on a modified Kalman's Filter is proposed in this work. Such estimator acts after state measurement, allowing obtain an optimal estimation of quantum state resulting in the output of any quantum…
This paper investigates the stability of Kalman filtering over Gilbert-Elliott channels where random packet drop follows a time-homogeneous two-state Markov chain whose state transition is determined by a pair of failure and recovery rates.…
We prove that for linear, discrete, time-varying, deterministic system (perfect model) with noisy outputs, the Riccati transformation in the Kalman filter asymptotically bounds the rank of the forecast and the analysis error covariance…
The Kalman filter (KF) is an optimal linear state estimator for linear systems, and numerous extensions, including the extended Kalman filter (EKF), unscented Kalman filter (UKF), and cubature Kalman filter (CKF), have been developed for…
Most Kalman filters for non-linear systems, such as the unscented Kalman filter, are based on Gaussian approximations. We use Poincar\'e inequalities to bound the Wasserstein distance between the true joint distribution of the prediction…
The optimal disturbance rejection control problem is considered for consensus tracking systems affected by external persistent disturbances and noise. Optimal estimated values of system states are obtained by recursive filtering for the…
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…
In this paper we consider the continuous--time nonlinear filtering problem, which has an infinite--dimensional solution in general, as proved by Chaleyat--Maurel and Michel. There are few examples of nonlinear systems for which the optimal…