Optimization Viewpoint on Kalman Smoothing with Applications to Robust and Sparse Estimation

DOI10.1007/978-3-642-38398-4_8zbMath1352.93091arXiv1303.1993OpenAlexW1603057971MaRDI QIDQ5265374

Aleksandr Y. Aravkin, James V. Burke, Gianluigi Pillonetto

Publication date: 23 July 2015

Published in: Compressed Sensing & Sparse Filtering (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.1993

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (7)

Multiple window moving horizon estimation ⋮ Continuous limits for constrained ensemble Kalman filter ⋮ Ensemble Kalman methods with constraints ⋮ Limited-memory LDL\(^{\top}\) factorization of symmetric quasi-definite matrices with application to constrained optimization ⋮ Strong Metric (Sub)regularity of Karush–Kuhn–Tucker Mappings for Piecewise Linear-Quadratic Convex-Composite Optimization and the Quadratic Convergence of Newton’s Method ⋮ Scenario analysis for derivative portfolios via dynamic factor models ⋮ A robust adaptive iterative ensemble smoother scheme for practical history matching applications

Uses Software

• Matlab
• Octave

This page was built for publication: Optimization Viewpoint on Kalman Smoothing with Applications to Robust and Sparse Estimation