相关论文: Sample Complexity of Kalman Filtering for Unknown …
Many systems arising in biological applications are subject to periodic forcing. In these systems the forcing parameter is not only time-varying but also known to have a periodic structure. We present an approach to estimating periodic,…
We analyze the convergence aspects of the invariant extended Kalman filter (IEKF), when the latter is used as a deterministic non-linear observer on Lie groups, for continuous-time systems with discrete observations. One of the main…
The Ensemble Kalman Filter method can be used as an iterative particle numerical scheme for state dynamics estimation and control--to--observable identification problems. In applications it may be required to enforce the solution to satisfy…
Given a linear dynamical system, we consider the problem of selecting (at design-time) an optimal set of sensors (subject to certain budget constraints) to minimize the trace of the steady state error covariance matrix of the Kalman filter.…
Ensemble data assimilation methods such as the Ensemble Kalman Filter (EnKF) are a key component of probabilistic weather forecasting. They represent the uncertainty in the initial conditions by an ensemble which incorporates information…
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…
State-of-the-art ensemble Kalman filtering (EnKF) algorithms require incorporating localization techniques to cope with the rank deficiency and the inherited spurious correlations in their error covariance matrices. Localization techniques…
Accurate state estimates are required for increasingly complex systems, to enable, for example, feedback control. However, available state estimation schemes are not necessarily real-time feasible for certain large-scale systems. Therefore,…
Data assimilation has been applied to coastal hydrodynamic models to better estimate system states or parameters by incorporating observed data into the model. Kalman Filter (KF) is one of the most studied data assimilation methods whose…
This paper develops efficient ensemble Kalman filter (EnKF) implementations based on shrinkage covariance estimation. The forecast ensemble members at each step are used to estimate the background error covariance matrix via the…
Dynamic operation of biological processes, such as anaerobic digestion (AD), requires reliable process monitoring to guarantee stable operating conditions at all times. Unscented Kalman filters (UKF) are an established tool for nonlinear…
This paper introduces a novel Kalman filter framework designed to achieve robust state estimation under both process and measurement noise. Inspired by the Weighted Observation Likelihood Filter (WoLF), which provides robustness against…
Cyber-physical systems are found in many applications such as power networks, manufacturing processes, and air and ground transportation systems. Maintaining security of these systems under cyber attacks is an important and challenging…
Motivated by the need for accurate frequency information, a novel algorithm for estimating the fundamental frequency and its rate of change in three-phase power systems is developed. This is achieved through two stages of Kalman filtering.…
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…
Measured data from a dynamical system can be assimilated into a predictive model by means of Kalman filters. Nonlinear extensions of the Kalman filter, such as the Extended Kalman Filter (EKF), are required to enable the joint estimation of…
This paper proposes a novel convex optimization framework for designing robust Kalman filters that guarantee a user-specified steady-state error while maximizing process and sensor noise. The proposed framework simultaneously determines the…
Recent research in nonlinear filtering and signal processing has suggested an efficient derivative-free Extended Kalman filter (EKF) designed for discrete-time stochastic systems. Such approach, however, has failed to address the estimation…
To date most linear and nonlinear Kalman filters (KFs) have been developed under the Gaussian assumption and the well-known minimum mean square error (MMSE) criterion. In order to improve the robustness with respect to impulsive (or…
This research paper delves into the Linear Kalman Filter (LKF), highlighting its importance in merging data from multiple sensors. The Kalman Filter is known for its recursive solution to the linear filtering problem in discrete data,…