相关论文: The Kalman-Levy filter

The optimal predictor for a linear dynamical system (with hidden state and Gaussian noise) takes the form of an autoregressive linear filter, namely the Kalman filter. However, a fundamental problem in reinforcement learning and control…

In this paper, state and noise covariance estimation problems for linear system with unknown multiplicative noise are considered. The measurement likelihood is modelled as a mixture of two Gaussian distributions and a Student's t…

Contemporary data assimilation often involves millions of prediction variables. The classical Kalman filter is no longer computationally feasible in such a high dimensional context. This problem can often be resolved by exploiting the…

The Kalman Filter (KF) parameters are traditionally determined by noise estimation, since under the KF assumptions, the state prediction errors are minimized when the parameters correspond to the noise covariance. However, noise estimation…

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…

Traditional statements of the celebrated Kalman filter algorithm focus on the estimation of state, but not the output. For any outputs, measured or auxiliary, it is usually assumed that the posterior state estimates and known inputs are…

Estimating the state of a dynamical system from partial and noisy observations is a ubiquitous problem in a large number of applications, such as probabilistic weather forecasting and prediction of epidemics. Particle filters are a widely…

Motivated by filtering tasks under a linear system with non-Gaussian heavy-tailed noise, various robust Kalman filters (RKFs) based on different heavy-tailed distributions have been proposed. Although the sub-Gaussian $\alpha$-stable…

Traditional Kalman filter (KF) is derived under the well-known minimum mean square error (MMSE) criterion, which is optimal under Gaussian assumption. However, when the signals are non-Gaussian, especially when the system is disturbed by…

The Kalman(-Bucy) filter is the natural choice for the state reconstruction of disturbed, linear dynamical systems based on flawed and incomplete measurements. Taking a deterministic viewpoint this work investigates possible extensions of…

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…

This paper addresses the problem of robust fault detection filtering for linear time-varying (LTV) systems with non-Gaussian noise and additive faults. The conventional generalized likelihood ratio (GLR) method utilizes the Kalman filter,…

This report provides a brief historical evolution of the concepts in the Kalman filtering theory since ancient times to the present. A brief description of the filter equations its aesthetics, beauty, truth, fascinating perspectives and…

Stochastic models in biomolecular contexts can have a state-dependent process noise covariance. The choice of the process noise covariance is an important parameter in the design of a Kalman Filter for state estimation and the theoretical…

The problem of adaptive Kalman filtering for a discrete observable linear time-varying system with unknown noise covariance matrices is addressed in this paper. The measurement difference autocovariance method is used to formulate a linear…

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…

We address the problem of observation noise misspecification in Bayesian filtering of dynamical systems via recent advances in generalised Bayesian inference. Mis-match in tail decay between the true data generating process and an assumed…

The extended Kalman filter is perhaps the most standard tool to estimate in real time the state of a dynamical system from noisy measurements of some function of the system, with extensive practical applications (such as position tracking…

The purpose of this review is to present a comprehensive overview of the theory of ensemble Kalman-Bucy filtering for continuous-time, linear-Gaussian signal and observation models. We present a system of equations that describe the flow of…

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…