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Kalman filters are routinely used for many data fusion applications including navigation, tracking, and simultaneous localization and mapping problems. However, significant time and effort is frequently required to tune various Kalman filter model parameters, e.g. process noise covariance, pre-whitening filter models for non-white noise, etc. Conventional optimization techniques for tuning can get stuck in poor local minima and can be expensive to implement with real sensor data. To address these issues, a new black box Bayesian optimization strategy is developed for automatically tuning Kalman filters. In this approach, performance is characterized by one of two stochastic objective functions: normalized estimation error squared (NEES) when ground truth state models are available, or the normalized innovation error squared (NIS) when only sensor data is available. By intelligently sampling the parameter space to both learn and exploit a nonparametric Gaussian process surrogate function for the NEES/NIS costs, Bayesian optimization can efficiently identify multiple local minima and provide uncertainty quantification on its results.
Data assimilation is concerned with sequentially estimating a temporally-evolving state. This task, which arises in a wide range of scientific and engineering applications, is particularly challenging when the state is high-dimensional and the state-
Many state estimation algorithms must be tuned given the state space process and observation models, the process and observation noise parameters must be chosen. Conventional tuning approaches rely on heuristic hand-tuning or gradient-based optimizat
Kalman Filters are one of the most influential models of time-varying phenomena. They admit an intuitive probabilistic interpretation, have a simple functional form, and enjoy widespread adoption in a variety of disciplines. Motivated by recent varia
This paper presents novel mixed-type Bayesian optimization (BO) algorithms to accelerate the optimization of a target objective function by exploiting correlated auxiliary information of binary type that can be more cheaply obtained, such as in polic
We propose a practical Bayesian optimization method over sets, to minimize a black-box function that takes a set as a single input. Because set inputs are permutation-invariant, traditional Gaussian process-based Bayesian optimization strategies whic