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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…

The Kalman filter provides an optimal estimation for a linear system with Gaussian noise. However when the noises are non-Gaussian in nature, its performance deteriorates rapidly. For non-Gaussian noises, maximum correntropy Kalman filter…

Prediction models are often employed in estimating parameters of optimization models. Despite the fact that in an end-to-end view, the real goal is to achieve good optimization performance, the prediction performance is measured on its own.…

Switching Kalman Filters (SKF) are well known for their ability to solve the piecewise linear dynamic system estimation problem using the standard Kalman Filter (KF). Practical SKFs are heuristic, approximate filters that are not guaranteed…

This paper presents the machine learning-based ensemble conditional mean filter (ML-EnCMF) -- a filtering method based on the conditional mean filter (CMF) previously introduced in the literature. The updated mean of the CMF matches that of…

Federated learning (FL) is a distributed learning approach where a set of end-user devices participate in the learning process by acting on their isolated local data sets. Here, we process local data sets of users where worst-case…

In recent work, we studied the problem of causally reconstructing time sequences of spatially sparse signals, with unknown and slow time-varying sparsity patterns, from a limited number of linear "incoherent" measurements. We proposed a…

Real-time control and estimation are pivotal for applications such as industrial automation and future healthcare. The realization of this vision relies heavily on efficient interactions with nonlinear systems. Therefore, Koopman learning,…

One main challenge for the design of networks is that traffic load is not generally known in advance. This makes it hard to adequately devote resources such as to best prevent or mitigate bottlenecks. While several authors have shown how to…

We consider the problem of an ensemble Kalman filter when only partial observations are available. In particular we consider the situation where the observational space consists of variables which are directly observable with known…

This paper investigates the state estimation problem for unknown linear systems subject to both process and measurement noise. Based on a prior input-output trajectory sampled at a higher frequency and a prior state trajectory sampled at a…

The traditional Kalman filter (KF) is widely applied in control systems, but it relies heavily on the accuracy of the system model and noise parameters, leading to potential performance degradation when facing inaccuracies. To address this…

We consider the problem of online prediction for an unknown, non-explosive linear stochastic system. With a known system model, the optimal predictor is the celebrated Kalman filter. In the case of unknown systems, existing approaches based…

There is a growing interest in using Kalman-filter models in brain modelling. In turn, it is of considerable importance to make Kalman-filters amenable for reinforcement learning. In the usual formulation of optimal control it is computed…

In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…

We consider a robust filtering problem where the robust filter is designed according to the least favorable model belonging to a ball about the nominal model. In this approach, the ball radius specifies the modeling error tolerance and the…

The Ensemble Kalman filter (EnKF) was introduced by Evensen in 1994 [10] as a novel method for data assimilation: state estimation for noisily observed time-dependent problems. Since that time it has had enormous impact in many application…

Machine learning (ML) algorithms are remarkably good at approximating complex non-linear relationships. Most ML training processes, however, are designed to deliver ML tools with good average performance, but do not offer any guarantees…

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…

The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman…