4 papers
Parallel state estimation for systems with integrated measurements
Fatemeh Yaghoobi, Simo Särkkä
This paper presents parallel-in-time state estimation methods for systems with Slow-Rate inTegrated Measurements (SRTM). Integrated measurements are common in various applications,…
Parallel-in-Time Probabilistic Numerical ODE Solvers
Nathanael Bosch, Adrien Corenflos, Fatemeh Yaghoobi +3
Probabilistic numerical solvers for ordinary differential equations (ODEs) treat the numerical simulation of dynamical systems as problems of Bayesian state estimation. Aside from…
A Recursive Newton Method for Smoothing in Nonlinear State Space Models
Fatemeh Yaghoobi, Hany Abdulsamad, Simo Särkkä
In this paper, we use the optimization formulation of nonlinear Kalman filtering and smoothing problems to develop second-order variants of iterated Kalman smoother (IKS) methods.…
Parallel Iterated Extended and Sigma-point Kalman Smoothers
Fatemeh Yaghoobi, Adrien Corenflos, Sakira Hassan +1
The problem of Bayesian filtering and smoothing in nonlinear models with additive noise is an active area of research. Classical Taylor series as well as more recent sigma-point ba…