| Publication | Date of Publication | Type |
|---|
Gaussian multi-target filtering with target dynamics driven by a stochastic differential equation
IEEE Transactions on Signal Processing | 2025-11-12 | Paper |
Temporal parallelization of the HJB equation and continuous-time linear quadratic control
IEEE Transactions on Automatic Control | 2025-07-11 | Paper |
Auxiliary MCMC samplers for parallelisable inference in high-dimensional latent dynamical systems
Electronic Journal of Statistics | 2025-05-23 | Paper |
Parallel square-root statistical linear regression for inference in nonlinear state space models
SIAM Journal on Scientific Computing | 2025-04-08 | Paper |
Probabilistic estimation of instantaneous frequencies of chirp signals
IEEE Transactions on Signal Processing | 2024-09-12 | Paper |
Gaussian-based parametric bijections for automatic projection filters
IEEE Transactions on Automatic Control | 2024-08-16 | Paper |
Fourier–Hermite Dynamic Programming for Optimal Control
IEEE Transactions on Automatic Control | 2024-01-25 | Paper |
| Parallel-in-Time Probabilistic Numerical ODE Solvers | 2023-10-02 | Paper |
Temporal Parallelization of Dynamic Programming and Linear Quadratic Control
IEEE Transactions on Automatic Control | 2023-09-06 | Paper |
System identification using autoregressive Bayesian neural networks with nonparametric noise models
Journal of Time Series Analysis | 2023-08-24 | Paper |
On the convergence of numerical integration as a finite matrix approximation to multiplication operator
Calcolo | 2023-05-16 | Paper |
| Bayesian Filtering and Smoothing | 2023-04-12 | Paper |
Temporal Parallelization of Inference in Hidden Markov Models
IEEE Transactions on Signal Processing | 2022-09-23 | Paper |
| The Coupled Rejection Sampler | 2022-01-24 | Paper |
Deep state-space Gaussian processes
Statistics and Computing | 2021-12-10 | Paper |
Bayesian ODE solvers: the maximum a posteriori estimate
Statistics and Computing | 2021-12-09 | Paper |
| Non-linear Gaussian smoothing with Taylor moment expansion | 2021-09-30 | Paper |
Taylor Moment Expansion for Continuous-Discrete Gaussian Filtering
IEEE Transactions on Automatic Control | 2021-09-09 | Paper |
Improved Calibration of Numerical Integration Error in Sigma-Point Filters
IEEE Transactions on Automatic Control | 2021-05-28 | Paper |
Kernel-based interpolation at approximate Fekete points
Numerical Algorithms | 2021-04-27 | Paper |
Correction to: ``Kernel-based interpolation at approximate Fekete points''
Numerical Algorithms | 2021-04-27 | Paper |
Temporal Parallelization of Bayesian Smoothers
IEEE Transactions on Automatic Control | 2021-03-12 | Paper |
Non-stationary multi-layered Gaussian priors for Bayesian inversion
Inverse Problems | 2021-02-15 | Paper |
Maximum likelihood estimation and uncertainty quantification for Gaussian process approximation of deterministic functions
SIAM/ASA Journal on Uncertainty Quantification | 2020-08-31 | Paper |
On Stability of a Class of Filters for Nonlinear Stochastic Systems
SIAM Journal on Control and Optimization | 2020-07-30 | Paper |
Worst-case optimal approximation with increasingly flat Gaussian kernels
Advances in Computational Mathematics | 2020-04-15 | Paper |
Hilbert space methods for reduced-rank Gaussian process regression
Statistics and Computing | 2020-02-26 | Paper |
Probabilistic solutions to ordinary differential equations as nonlinear Bayesian filtering: a new perspective
Statistics and Computing | 2020-02-26 | Paper |
Symmetry exploits for Bayesian cubature methods
Statistics and Computing | 2020-02-26 | Paper |
On the positivity and magnitudes of Bayesian quadrature weights
Statistics and Computing | 2020-02-26 | Paper |
Kernel-based interpolation at approximate Fekete points
(available as arXiv preprint) | 2019-12-16 | Paper |
Gaussian kernel quadrature at scaled Gauss-Hermite nodes
BIT | 2019-11-27 | Paper |
Iterated Extended Kalman Smoother-Based Variable Splitting for $L_1$-Regularized State Estimation
IEEE Transactions on Signal Processing | 2019-10-28 | Paper |
Gaussian Target Tracking With Direction-of-Arrival von Mises–Fisher Measurements
IEEE Transactions on Signal Processing | 2019-10-28 | Paper |
A probabilistic model for the numerical solution of initial value problems
Statistics and Computing | 2019-10-18 | Paper |
Probabilistic approach to limited-data computed tomography reconstruction
Inverse Problems | 2019-09-20 | Paper |
Hilbert space methods for reduced-rank Gaussian process regression
Statistics and Computing | 2019-08-05 | Paper |
Gaussian Process Latent Force Models for Learning and Stochastic Control of Physical Systems
IEEE Transactions on Automatic Control | 2019-07-18 | Paper |
Numerical integration as a finite matrix approximation to multiplication operator
Journal of Computational and Applied Mathematics | 2019-06-20 | Paper |
Worst-case optimal approximation with increasingly flat Gaussian kernels
(available as arXiv preprint) | 2019-06-05 | Paper |
Iterated Extended Kalman Smoother-based Variable Splitting for $L_1$-Regularized State Estimation
(available as arXiv preprint) | 2019-03-20 | Paper |
Rao–Blackwellized Gaussian Smoothing
IEEE Transactions on Automatic Control | 2019-01-28 | Paper |
| Applied stochastic differential equations | 2019-01-08 | Paper |
Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Series Expansion Approximations of Brownian Motion for Non-Linear Kalman Filtering of Diffusion Processes
IEEE Transactions on Signal Processing | 2018-08-22 | Paper |
Posterior Linearization Filter: Principles and Implementation Using Sigma Points
IEEE Transactions on Signal Processing | 2018-08-22 | Paper |
Sparse approximations of fractional Matérn fields
Scandinavian Journal of Statistics | 2018-04-17 | Paper |
Fully Symmetric Kernel Quadrature
SIAM Journal on Scientific Computing | 2018-03-14 | Paper |
Statistical analysis of differential equations: introducing probability measures on numerical solutions
Statistics and Computing | 2018-03-07 | Paper |
Fourier-Hermite Kalman Filter
IEEE Transactions on Automatic Control | 2017-09-08 | Paper |
Correction to “On Gaussian Optimal Smoothing of Nonlinear State Space Models” [Aug 10 1938-1941]
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
On Gaussian Optimal Smoothing of Non-Linear State Space Models
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
Unscented Rauch--Tung--Striebel Smoother
IEEE Transactions on Automatic Control | 2017-08-08 | Paper |
Recursive Noise Adaptive Kalman Filtering by Variational Bayesian Approximations
IEEE Transactions on Automatic Control | 2017-08-08 | Paper |
On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
Iterated Posterior Linearization Smoother
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
Statistics and Computing | 2016-02-23 | Paper |
Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems
Bayesian Analysis | 2016-02-16 | Paper |
Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems
Bayesian Analysis | 2016-02-16 | Paper |
Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
Computational Statistics | 2015-02-18 | Paper |
| Gaussian filtering and variational approximations for Bayesian smoothing in continuous-discrete stochastic dynamic systems | 2014-07-22 | Paper |
| Moment Conditions for Convergence of Particle Filters with Unbounded Importance Weights | 2014-03-26 | Paper |
Bayesian filtering and smoothing
Institute of Mathematical Statistics Textbooks | 2013-09-19 | Paper |
Adaptive Metropolis Algorithm Using Variational Bayesian Adaptive Kalman Filter
(available as arXiv preprint) | 2013-08-27 | Paper |
Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers
Signal Processing | 2010-01-08 | Paper |
Modelling pathwise uncertainty of Stochastic Differential Equations samplers via Probabilistic Numerics
(available as arXiv preprint) | N/A | Paper |
