相关论文: Low-rank approximated Kalman filter using Oja's pr…

In order to integrate uncertainty estimates into deep time-series modelling, Kalman Filters (KFs) (Kalman et al., 1960) have been integrated with deep learning models, however, such approaches typically rely on approximate inference…

Filters, especially wide range of Kalman Filters have shown their impacts on predicting variables of stochastic models with higher accuracy then traditional statistic methods. Updating mean and covariance each time makes Bayesian inferences…

Optimal state estimation for linear discrete-time systems is considered. Motivated by the literature on differential privacy, the measurements are assumed to be corrupted by Laplace noise. The optimal least mean square error estimate of the…

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…

We develop a fast algorithm for Kalman Filter applied to the random walk forecast model. The key idea is an efficient representation of the estimate covariance matrix at each time-step as a weighted sum of two contributions - the process…

Estimating and detecting faults is crucial in ensuring safe and efficient automated systems. In the presence of disturbances, noise or varying system dynamics, such estimation is even more challenging. To address this challenge, this…

This paper describes some new results on recursive l_1-minimizing by Kalman filtering. We consider the l_1-norm as an explicit constraint, formulated as a nonlinear observation of the state to be estimated. Interpretiing a sparse vector to…

In this paper, we exploit the gradient flow structure of continuous-time formulations of Bayesian inference in terms of their numerical time-stepping. We focus on two particular examples, namely, the continuous-time ensemble Kalman-Bucy…

The models of partially observed linear stochastic differential equations with unknown initial values of the non-observed component are considered in two situations. In the first problem, the initial value is deterministic, and in the…

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…

Low-rank approximation of a matrix by means of random sampling has been consistently efficient in its empirical studies by many scientists who applied it with various sparse and structured multipliers, but adequate formal support for this…

The Kalman filter and its extensions are used in a vast number of aerospace and navigation applications for nonlinear state estimation of time series. In the literature, different approaches have been proposed to exploit the structure of…

This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization…

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 Ho-Kalman algorithm has been widely employed for the identification of discrete-time linear time-invariant (LTI) systems. In this paper, we investigate the pole estimation error for the Ho-Kalman algorithm based on finite input/output…

We propose an efficient online approximate Bayesian inference algorithm for estimating the parameters of a nonlinear function from a potentially non-stationary data stream. The method is based on the extended Kalman filter (EKF), but uses a…

We present a new finite-time analysis of the estimation error of the Ordinary Least Squares (OLS) estimator for stable linear time-invariant systems. We characterize the number of observed samples (the length of the observed trajectory)…

We consider the problem of computing tractable approximations of time-dependent d x d large positive semi-definite (PSD) matrices defined as solutions of a matrix differential equation. We propose to use "low-rank plus diagonal" PSD…

A Kalman filter can be used to determine material parameters using uncertain experimental data. However, starting with inappropriate initial values for material parameters might include false local attractors or even divergence. Also,…

Fueled by applications in sensor networks, these years have witnessed a surge of interest in distributed estimation and filtering. A new approach is hereby proposed for the Distributed Kalman Filter (DKF) by integrating a local covariance…