相关论文: Lie Algebraic Unscented Kalman Filter for Pose Est…

The subspace identification method (SIM) has become a widely adopted approach for the identification of discrete-time linear time-invariant (LTI) systems. In this paper, we derive finite sample high-probability error bounds for the system…

We address the problem of uncertainty propagation and Bayesian fusion on unimodular Lie groups. Starting from a stochastic differential equation (SDE) defined on Lie groups via Mckean-Gangolli injection, we first convert it to a parametric…

In this paper, we investigate a distributed estimation problem for multi-agent systems with state equality constraints (SEC). First, under a time-based consensus communication protocol, applying a modified projection operator and the…

This paper describes a novel tracking filter, designed primarily for use in collision avoidance systems on autonomous surface vehicles (ASVs). The proposed methodology leverages real-time kinematic information broadcast via the Automatic…

This paper introduces a new invariant extended Kalman filter design that produces real-time state estimates and rapid error convergence for the estimation of the human body movement even in the presence of sensor misalignment and initial…

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the…

This paper considers the Linear Minimum Variance recursive state estimation for the linear discrete time dynamic system with random state transition and measurement matrices, i.e., random parameter matrices Kalman filtering. It is shown…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…

In this paper we propose a (non-linear) smoothing algorithm for group-affine observation systems, a recently introduced class of estimation problems on Lie groups that bear a particular structure. As most non-linear smoothing methods, the…

We formulate the discrete-time inverse optimal control problem of inferring unknown parameters in the objective function of an optimal control problem from measurements of optimal states and controls as a nonlinear filtering problem. This…

Full-body motion estimation of a human through wearable sensing technologies is challenging in the absence of position sensors. This paper contributes to the development of a model-based whole-body kinematics estimation algorithm using…

The sigma point (SP) filter, also known as unscented Kalman filter, is an attractive alternative to the extended Kalman filter and the particle filter. Here, we extend the SP filter to nonsequential Bayesian inference corresponding to loopy…

Ill-posed inverse problems are ubiquitous in applications. Under- standing of algorithms for their solution has been greatly enhanced by a deep understanding of the linear inverse problem. In the applied communities ensemble-based filtering…

In this letter, a new filtering technique to solve a nonlinear state estimation problem has been developed. It is well known that for a nonlinear system, the prior and posterior probability density functions (pdf) are non-Gaussian in…

Filtering and smoothing algorithms for linear discrete-time state-space models with skewed and heavy-tailed measurement noise are presented. The algorithms use a variational Bayes approximation of the posterior distribution of models that…

We study the inverse medium scattering problem to reconstruct the unknown inhomogeneous medium from the far-field patterns of scattered waves. The inverse scattering problem is generally ill-posed and nonlinear, and the iterative…

This article presents an up-to-date tutorial review of nonlinear Bayesian estimation. State estimation for nonlinear systems has been a challenge encountered in a wide range of engineering fields, attracting decades of research effort. To…

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,…

The real-world applications in signal processing generally involve estimating the system state or parameters in nonlinear, non-Gaussian dynamic systems. The estimation problem may get even more challenging when there are physical…

In this paper, a new filter model called set-membership Kalman filter for nonlinear state estimation problems was designed, where both random and unknown but bounded uncertainties were considered simultaneously in the discrete-time system.…