相关论文: Kalman Filtering With Censored Measurements

In this paper we are concerned with the error-covariance lower-bounding problem in Kalman filtering: a sensor releases a set of measurements to the data fusion/estimation center, which has a perfect knowledge of the dynamic model, to allow…

The Kalman filter (KF) provides optimal recursive state estimates for linear-Gaussian systems and underpins applications in control, signal processing, and others. However, it is vulnerable to outliers in the measurements and process noise.…

We consider the problem of randomly choosing the sensors of a linear time-invariant dynamical system subject to process and measurement noise. We sample the sensors independently and from the same distribution. We measure the performance of…

In this work, we consider a sensor selection drawn at random by a sampling with replacement policy for a linear time-invariant dynamical system subject to process and measurement noise. We employ the Kalman filter to estimate the state of…

The state-of-the-art tensor network Kalman filter lifts the curse of dimensionality for high-dimensional recursive estimation problems. However, the required rounding operation can cause filter divergence due to the loss of positive…

State estimation in stochastic dynamical systems with noisy measurements is a challenge. While the Kalman filter is optimal for linear systems with independent Gaussian white noise, real-world conditions often deviate from these…

We study the problem of distributed Kalman filtering for sensor networks in the presence of model uncertainty. More precisely, we assume that the actual state-space model belongs to a ball, in the Kullback-Leibler topology, about the…

Given a plant subject to delayed sensor measurement, there are several approaches to compensate for the delay. An obvious approach is to address this problem in state space, where the $n$-dimensional plant state is augmented by an…

Bayesian filtering is a key tool in many problems that involve the online processing of data, including data assimilation, optimal control, nonlinear tracking and others. Unfortunately, the implementation of filters for nonlinear, possibly…

This article explores the estimation of parameters and states for linear stochastic systems with deterministic control inputs. It introduces a novel Kalman filtering approach called Kalman Filtering with Correlated Noises Recursive…

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…

The Kalman filter (KF) is one of the most widely used tools for data assimilation and sequential estimation. In this work, we show that the state estimates from the KF in a standard linear dynamical system setting are equivalent to those…

We present a novel quantum tomographic reconstruction method based on Bayesian inference via the Kalman filter update equations. The method not only yields the maximum likelihood/optimal Bayesian reconstruction, but also a covariance matrix…

The input-parameter-state estimation capabilities of a novel unscented Kalman filter is examined herein on both linear and nonlinear systems. The unknown input is estimated in two stages within each time step. Firstly, the predicted dynamic…

We consider the robust filtering problem for a state-space model with outliers in correlated measurements. We propose a new robust filtering framework to further improve the robustness of conventional robust filters. Specifically, the…

Many practical settings call for the reconstruction of temporal signals from corrupted or missing data. Classic examples include decoding, tracking, signal enhancement and denoising. Since the reconstructed signals are ultimately viewed by…

The Kalman filter is the most powerful tool for estimation of the states of a linear Gaussian system. In addition, using this method, an expectation maximization algorithm can be used to estimate the parameters of the model. However, this…

The measure timetable plays a critical role for the accuracy of the estimator. This article deals with the optimization of the schedule of measures for observing a random process in time using a Kalman filter, when the length of the process…

We show that the key problems of quantum measurement theory, namely the reduction of the wave packet of a microsystem and the specification of its quantum state by a macroscopic measuring instrument, may be rigorously resolved within the…

The article is devoted to the problem of synthesis of observers of state variables for linear stationary objects operating under conditions of noise or disturbances in the measurement channel. The paper considers a fully observable linear…