In many applications it is important to be able to sample paths of SDEs conditional on observations of various kinds. This paper studies SPDEs which solve such sampling problems. The SPDE may be viewed as an infinite dimensional analogue of the Langevin SDE used in finite dimensional sampling. Here the theory is developed for conditioned Gaussian processes for which the resulting SPDE is linear...

We provide a continuous time limit analysis for the class of Ensemble Square Root Filter algorithms with deterministic model perturbations. In particular linear case, we specify general conditions on perturbations implying convergence empirical mean and covariance matrix towards their respective counterparts Kalman-Bucy Filter. As second main result identify additional assumptions whole ensembl...

This paper presents the findings of the first stage of a fundamental study of the tilt control problem. A tilting railway vehicle is described via appropriate modelling and a frequency domain analysis illustrates the problems associated with straightforward feedback control. A Kalman-Bucy filter is developed based on 3 inertial measurements (body lateral acceleration, roll and yaw rate) to prov...

A new approach to linear least squares estimation of continuous-time (wide sense) stationary stochastic processes is presented. The basic idea is that the relevant estimates can be expressed not only in terms of the usual (forward) innovation process but also in terms of a backward innovation process. The functions determining the optimal filter as well as the error covariance functions are see...

Dementia is not an uncommon presentation in psychiatric practice. Of the various causes of reversible dementia, subdural hygroma is a lesser-known potentially reversible cause. A case of dementia with Kluver-Bucy symptoms secondary to subdural hygroma is described and implications of Kluver-Bucy symptoms in dementia are discussed.

Estimation of time-varying regression model constrained at each time moment by linear inequalities is a natural statistical formulation of a wide class of nonstationary signal processing problems. The presence of linear constraints turns the originally quadratic three-diagonal problem of minimizing the residual squares sum, which is solvable by the linear Kalman-Bucy filtration-smoothing proced...

Active filters are power electronics devices used to eliminate harmonics from the distribution network. This article presents an active disturbance rejection control scheme for active filters. The controller is based on a linear disturbance observer combined with a disturbance rejection scheme. The parameter tuning is based on a combined pole placement and an optimal estimation based on Kalman-...

This paper formulates and proposes solutions to the problem of estimating/reconstructing the absolute (not simply modulo-2pi) phase of a complex random field from noisy observations of its real and imaginary parts. This problem is representative of a class of important imaging techniques such as interferometric synthetic aperture radar, optical interferometry, magnetic resonance imaging, and di...