An \ell _{1}-Laplace Robust Kalman Smoother

DOI10.1109/TAC.2011.2141430zbMATH Open1368.93755MaRDI QIDQ5347922FDOQ5347922

Authors: Aleksandr Y. Aravkin, Bradley M. Bell, James V. Burke, Gianluigi Pillonetto 

Publication date: 25 August 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Interior-point methods (90C51) Data smoothing in stochastic control theory (93E14)

Cited In (17)

• Bayesian frequentist bounds for machine learning and system identification
• Robust EM kernel-based methods for linear system identification
• Joint maximum \textit{a posteriori} state path and parameter estimation in stochastic differential equations
• Generalized Kalman smoothing: modeling and algorithms
• Robust algorithms via PAC-Bayes and Laplace distributions
• Robust and Trend-Following Student's t Kalman Smoothers
• Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory
• Laplace \(\ell_1\) square-root cubature Kalman filter for non-Gaussian measurement noises
• Robust fixed-lag smoothing under model perturbations
• Robust continuous-time smoothers without two-sided stochastic integrals
• An inequality constrained nonlinear Kalman-Bucy smoother by interior point likelihood maximization
• Maximum a posteriori state path estimation: discretization limits and their interpretation
• Fast robust methods for singular state-space models
• An iterative Kalman smoother/least-squares algorithm for the identification of delta-ARX models
• Simultaneous input and state estimation: from a unified least-squares perspective
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
• Generalized system identification with stable spline kernels

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