相关论文: Kalman Filtering of Distributed Time Series

This report derives a generalized, converted measurement Kalman filter for the class of filtering problems with a linear state equation and nonlinear measurement equation, for which a bijective mapping exists between the state and…

Inferring latent dynamics from multivariate time-series defined over topological cell complexes is crucial for capturing the complex, higher-order interactions inherent in real-world systems such as in water, sensor, and transportation…

The Kalman filter (KF) is used in a variety of applications for computing the posterior distribution of latent states in a state space model. The model requires a linear relationship between states and observations. Extensions to the Kalman…

Online estimation of electromechanical oscillation parameters provides essential information to prevent system instability and blackout and helps to identify event categories and locations. We formulate the problem as a state space model…

We introduce a technique of time series analysis, potential forecasting, which is based on dynamical propagation of the probability density of time series. We employ polynomial coefficients of the orthogonal approximation of the empirical…

We consider the problem of learning time-varying functions in a distributed fashion, where agents collect local information to collaboratively achieve a shared estimate. This task is particularly relevant in control applications, whenever…

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…

Correlated time series are time series that, by virtue of the underlying process to which they refer, are expected to influence each other strongly. We introduce a novel approach to handle such time series, one that models their interaction…

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…

Many systems for which compressive sensing is used today are dynamical. The common approach is to neglect the dynamics and see the problem as a sequence of independent problems. This approach has two disadvantages. Firstly, the temporal…

We introduce a novel deep learning approach that harnesses the power of generative artificial intelligence to enhance the accuracy of contextual forecasting in sewerage systems. By developing a diffusion-based model that processes…

The use of Kalman filtering, as well as its nonlinear extensions, for the estimation of system variables and parameters has played a pivotal role in many fields of scientific inquiry where observations of the system are restricted to a…

This paper investigates the distributed Kalman filter (DKF) for linear systems, with specific attention on measurement fusion, which is a typical way of information sharing and is vital for enhancing stability and improving estimation…

Chaos is ubiquitous in physical systems. The associated sensitivity to initial conditions is a significant obstacle in forecasting the weather and other geophysical fluid flows. Data assimilation is the process whereby the uncertainty in…

In this manuscript, a general method for deriving filtering algorithms that involve a network of interconnected Bayesian filters is proposed. This method is based on the idea that the processing accomplished inside each of the Bayesian…

Stochastic stability for centralized time-varying Kalman filtering over a wireles ssensor network with correlated fading channels is studied. On their route to the gateway, sensor packets, possibly aggregated with measurements from several…

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…

We study distributed filtering for a class of uncertain systems over corrupted communication channels. We propose a distributed robust Kalman filter with stochastic gains, through which upper bounds of the conditional mean square estimation…

We provide a procedure termed Flagged observation analyses that can be applied to all the available time series to help identifying time series that should be prioritized.The statistical procedure first applies a structural time series…

In this paper, we address a partition-based distributed state estimation problem for large-scale general nonlinear processes by proposing a Kalman-based approach. First, we formulate a linear full-information estimation design within a…