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math.OC2013
Robust and Trend Following Student's t Kalman Smoothers
Aleksandr Y. Aravkin, James V. Burke, Gianluigi Pillonetto
We present a Kalman smoothing framework based on modeling errors using the heavy tailed Student's t distribution, along with algorithms, convergence theory, open-source general imp…
math.OC2013
Optimization viewpoint on Kalman smoothing, with applications to robust and sparse estimation
Aleksandr Y. Aravkin, James V. Burke, Gianluigi Pillonetto
In this paper, we present the optimization formulation of the Kalman filtering and smoothing problems, and use this perspective to develop a variety of extensions and applications.…