Kalman Filters and Smoothing

• Generalized Kalman Smoothing: Modeling and Algorithms.
  with Aleksandr Aravkin, Lennart Ljung, Aurelie Lozano, and Gianluigi Pillonetto. Automatica 86(2017): 63 - 86.
• The connection between Bayesian estimation of a Gaussian random field and RKHS.
  with A.Y. Aravkin, B.M. Bell and G. Pillonetto, IEEE Transactions on Neural Networks and Learning Systems. 26(2015): 1518 - 1524. E-Preprint: ieeexplore.ieee.org/stamp/stamp.jsp?arnumber=6871416
• Smoothing dynamical systems with state-dependent covariance matrices.
  with A.Y.Aravkin. IEEE 53rd Annual Conference on Decision and Control (CDC), 2014, pages 3382 - 3387.
• Robust and Trend-following Student's t Kalman Smoothers.
  with A.Y. Aravkin and G. Pillonetto, SIAM J. Control Optim. 52(2014): 2891-2916.
• Optimization viewpoint on Kalman smoothing, with applications to robust and sparse estimation.
  with A.Y. Aravkin and G. Pillonetto, In Compressed Sensing & Sparse Filtering, eds., A. Carmi, L. Mihaylova, and S. Godsill. Springer. pp. 237-281, 2014.
• Linear system identification using stable spline kernels and PLQ penalties.
  with A.Y. Aravkin and G. Pillonetto, Proceedings of the 52nd IEEE Conf. Decision and Control (CDC), December 2013, pp. 5168-5173.
• Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory.
  with A.Y. Aravkin and G. Pillonetto, Journal of Machine Learning Research, 14(2013) 2689-2728.
• Robust and trend following Kalman smoothers using Student's t,
  with A.Y.Aravkin and G.Pillonetto, IFAC Systems Identification, Volume 16, Part 1, Pages 1215-1220, 2012.
• A statistical and computational theory for robust and sparse Kalman smoothing,
  with A.Y.Aravkin and G.Pillonetto, IFAC Systems Identification, Volume 16, Part 1, Pages 894-899, 2012.
• Nonsmooth regression and state estimation using piecewise quadratic log-concave densities.
  with A.Y. Aravkin and G.Pillonetto. Proceedings of the 51st IEEE Conf. Decision and Control (CDC), 2012, pp. 4101-4106.
• Learning using state space kernel machines,
  with A.Y.Aravkin, B.Bell, and G.Pillonetto, IFAC World Congress, Volume 18, Part 1, pages 2296-2302, 2011.
• An l_1-Laplace Robust Kalman Smoother,
  with Aleksandr Aravkin, Bradley Bell and Gianluigi Pillonetto, IEEE Transactions on Automatic Control, 56(2011) 2898--2911.
• An Inequality Constrained Kalman-Bucy Smoother by Interior Point Likelihood Maximization,
  with Bradley Bell and Gianluigi Pillonetto, Automatica, 45(2009) 25-33.