Kalman Filtering from an Optimization Perspective

      Department of Systems Engineering and Engineering Management
                             The Chinese University of Hong Kong
Speaker: James V Burke, University of Washington, Seattle
Title: Kalman Filtering from an Optimization Perspective
We review that classical notion of Kalman filters for state estimation in
dynamical systems. We then reformulate the estimation problem as an
optimization problem and show how this perspective allows one to overcome
many of the perceived barriers to extending the basic model to a wide
range of novel settings. In particular, we show how to extend the model to
nonlinear settings involving state constraints, non-Gaussian densities,
outliers, sparsity, trend shifts, and state dependent covariances.
Illustrations of these ideas on numerical simulations as as well as real
data sets will be presented.
Bio Sketch for James V. Burke:
Professor Burke is a widely recognized expert in numerical optimization,
convex analysis, variational analysis, and methods for the estimation and
optimization of continuous and discrete dynamical systems, and has over 87 publications.
He received his Ph.D. from the University of Illinois in 1983 and joined
the Mathematic Department of the University of Washington in 1985. He has
been Associated Editor of the SIAM Journal on Control and Optimization, the Journal
of Set-Valued and Variational Analysis, and the Pacific Journal of
Optimization. His current research includes numerical methods for convex
optimization, robust and sparse statistical modeling for uncertain
dynamical systems using Kalman filtering, reproducing kernal Hilbert
space techniques, and machine learning techniques, and the variational
analysis of functions of the spectrum of non-symmetric matrices. Between
1999 and 2000, he was the Associate Director of the U.S. National
Institute of Health Resource Facility is Population Kinetics and Dynamics.
He is
now and Adjunct Professor of Bioengineering, Statistics, and Applied
Mathematics at the University of Washington. His hobbies include long
distance bicycling and backpacking.
This seminar is hosted by Prof.Shiqian Ma
Venue: Room 513,
      William M.W. Mong Engineering Building (ERB),
      (Engineering Building Complex Phase 2)
      The Chinese University of Hong Kong.
Friday, March 4, 2016 - 08:30 to 09:30