Ensemble Kalman Filtering

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Sep 23, 2026stat.ML

Improving Ensemble Filters with Flow Matching

Data assimilation estimates a dynamical state from partial and noisy observations. Classical ensemble filters are efficient but restrict analysis updates through finite sample covariance and affine Gaussian distribution. We introduce the Flow Ensemble Filter (FlowEF), which uses conditional flow matching to transport the forecast ensemble from a classical baseline filter to an analysis ensemble. FlowEF uses a localized Gaussian source during training, transports forecast ensemble members from a baseline filter at deployment, and conditions its velocity field on ensembles from that baseline filter and the observation. The proposed model therefore learns a nonlinear update while mapping each baseline ensemble independently. For sparsely observed dynamical systems, FlowEF improves both deterministic and probabilistic metrics over all four classical ensemble filters. It also achieves the best performance among the state-of-the-art generative data assimilation models.

Haoyuan Chen, Alexandre Thiéry

Department of Statistics and Data Science National University of Singapore 6 Science Drive 2, Singapore 117546

Data AssimilationEnsemble Kalman Filtering
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Aug 3, 2026cs.RO

Residual-Based Adaptive Kalman Filtering for Legged Robot State Estimation

State estimation is a key component in model-based control of walking robots and, more broadly, applicable wherever hidden variables must be inferred. The Kalman filter is widely used to estimate floating-base position and velocity by fusing multiple sensing modalities. However, tuning noise parameters is challenging and typically requires expert knowledge. Moreover, fixed noise parameters are unsuitable for varying gaits and environments. We propose an online adaptation strategy for the process noise covariance matrix Q and the measurement noise covariance matrix R. Specifically, we introduce a filter residual and innovation-based covariance adaptation method for legged robot state estimation and evaluate it against a baseline approach relying on IMU and foot force measurements. The proposed adaptation is implemented within an Invariant Extended Kalman Filter (InEKF) fusing IMU and leg kinematics. Experiments on indoor and outdoor datasets with a Unitree Go2 quadruped show that adapting R is sufficient and improves accuracy by 25% for the trotting gait compared to the fixed-tuned InEKF. Finally, the proposed residual-based adaptation achieves comparable performance to the foot force approach, without requiring foot force measurements or additional parameter tuning.

Mihaela Popescu, Dennis Mronga, Shivesh Kumar +1

Legged RoboticsKalman FilteringEnsemble Kalman FilteringRobot State EstimationInvariant EKFMultimodal Sensor Fusion
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Jul 17, 2026cs.RO

Learning a System-Level Surrogate for Hydraulic Excavators: A Simulation-to-Real LSTM Approach

Developing autonomous hydraulic excavators is constrained by limited access to physical machines and the high cost of real-world experimentation. This paper proposes a simulation-to-real framework for learning a system-level digital surrogate using Long Short-Term Memory (LSTM) networks. Instead of modeling internal dynamics, the excavator is treated as an input-output operator, and the surrogate is trained to reproduce its closed-loop behavior under identical control inputs. The approach is first validated in a MuJoCo simulation environment and then transferred to a real excavator. To address measurement inconsistencies in real-world data, a consistency-aware state estimation method based on adaptive Kalman filtering is introduced. Experimental results demonstrate that the learned surrogate achieves high fidelity in both angular velocity and long-horizon trajectory reproduction under closed-loop autoregressive evaluation. These results confirm that the proposed model can serve as a drop-in surrogate for both simulation and physical systems, enabling scalable and efficient development of excavation automation algorithms.

Shuai Wang, Shen Wang, Qiang Wang +4

National Engineering Research Center of Mobile Network Technologies, Beijing University of Posts and Telecommunications, Beijing 100876, China · Yaowu (Shenzhen) Technology Co., Ltd., Shenzhen 518052, China

Neural Surrogate ModelingRobotic ConstructionSurrogate ModelingSim-to-Real TransferEnsemble Kalman Filtering
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Jul 13, 2026cs.CV

Event-RGB Adaptive Tracking for Nighttime Highway Perception

Intelligent Transportation Systems deployed on highways predominantly rely on conventional RGB cameras for traffic perception and vehicle tracking. However, highway environments present unique challenges: the absence of artificial lighting infrastructure, combined with high vehicle velocities, results in severely degraded perception performance under low-light conditions. Specifically, nighttime scenarios suffer from motion blur, insufficient exposure, and poor signal-to-noise ratios, which catastrophically impair the reliability of RGB-based sensing systems. To address these limitations, we propose a novel Joint Event-RGB Adaptive Tracking (JEAT) framework. Unlike existing multi-sensor trackers constrained by rigid, hard-coded prioritization, JEAT merges asynchronous event streams and RGB frames into a unified joint data association optimization. By employing an Adaptive Extended Kalman Filter to continuously estimate measurement noise via NIS statistics, the framework dynamically weights and fuses both modalities, optimally harnessing event streams during dark or high-speed motion while leveraging RGB frames under bright or static conditions. Furthermore, given the absence of publicly available datasets tailored for event-based highway perception with diverse environmental conditions, we present SEHN, a large-scale synthetic dataset generated using the CARLA simulator. Our dataset encompasses diverse environmental conditions (daytime, nighttime, nighttime with out artificial lighting) and varying traffic densities, providing synchronized RGB imagery and event streams to facilitate multi-modal fusion research. Our code and datasets will be available at https://github.com/haidongwang96/SEHN.

Haidong Wang, Hengxing Cai, Wanlei Li +2

School of Intelligent Systems Engineering, Sun Yat-sen University, Shenzhen, China · School of Intelligence Science and Engineering, Harbin Institute of Technology, Shenzhen, China

Autonomous Driving DatasetsIntelligent Transportation SystemsEnsemble Kalman FilteringMultimodal Sensor FusionMulti-Object Tracking
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Jun 10, 2026physics.comp-ph

Feature-preserving Latent-EnKF for Data Assimilation of Flows with Shocks

The ensemble Kalman filter (EnKF) is widely adopted for sequential data assimilation, but fails for solutions with discontinuities, such as shocks in compressible flows. Uncertainty in shock location induces multimodal ensemble statistics that violate the Gaussian assumptions underlying the EnKF, producing large-scale spurious oscillations in the analysis state. We introduce a feature-preserving latent-EnKF that performs the ensemble update in a learned low-dimensional latent space, where shock and flow features admit a smooth manifold representation, thereby preserving sharp features during EnKF analysis. The updated latent state is mapped back to physical state through a shared decoder for all ensemble members. The algorithm eliminates the member-specific ordered training and positivity flooring used in prior approaches. Numerical experiments on a Sod shock tube and Mach 2 shock interaction with a 2D cylinder, using sparse and noisy observations, show accurate feature recovery of shocks and contact discontinuities without spurious oscillations.

Hemanth Chandravamsi, Hangchuan Hu, Ponkrshnan Thiagarajan +1

Department of Mechanical Engineering, Johns Hopkins University, Baltimore, MD 21218, USA

Kalman FilteringData AssimilationEnsemble Kalman FilteringComputational Fluid Dynamics
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Jun 9, 2026cs.RO

Resilient Navigation for Autonomous Farm Robots by Leveraging Jerk-Augmented Models with IMU-Only Disturbance Rejection

Precise state estimation for navigation of autonomous agricultural robots is often compromised by sensor outages (GNSS/LiDAR/Visual) and high-frequency vibrations inherent in off-road environments. This paper proposes a robust navigation algorithm based on a jerk-augmented Extended Kalman Filter (EKF) integrated with a Multiple Tuning Factor (MTF) adaptation method. Unlike standard EKF approaches that assume constant measurement noise, our method dynamically adjusts the measurement covariance matrix in real-time, allowing the system to cope with sudden disturbances and sensor outliers. We evaluate the algorithm using real-world data from a Salin247 autonomous robot. Results demonstrate that jerk-augmentation combined with MTF adaptation significantly reduces 3D position Root Mean Square Error (RMSE) compared to baseline EKF models, providing superior dead-reckoning capabilities.

Batu Candan, Mohammed Atallah, Simone Servadio +1

Batu Candan, PhD Candidate, Iowa State University, Ames, IA 50011, USA · Mohammed Atallah, PhD Candidate, Iowa State University, Ames, IA 50011, USA · Dr. Simone Servadio, Assistant Professor, Iowa State University, Ames, IA 50011, USA +1

Kalman FilteringEmbodied NavigationEnsemble Kalman FilteringAgricultural RoboticsRobot State EstimationInertial Navigation+1
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Jun 1, 2026cs.RO

Hybrid Adaptive Kalman Filtering for Data-Efficient Joint Tracking and Classification

Kalman filtering performance is highly sensitive to model mismatch and noise covariance tuning. Learning-based approaches address these limitations but typically rely on supervised training with large datasets and do not produce consistent uncertainty estimates. In this paper, we propose a self-supervised Hybrid Adaptive Kalman Filter that learns structured corrections to system dynamics and process noise covariance from measurements alone while preserving the probabilistic structure of the filter. This allows the innovation likelihood to be computed and subsequently used for model classification via generalized Bayesian inference. Experimental results on real-world and simulated datasets demonstrate improved estimation accuracy and statistical consistency as well as robust classification performance across both low-data and large-data scenarios.

Jiho Lee, Nisar R. Ahmed, Rebecca Russell

Charles Stark Draper Laboratory, Inc., Cambridge, MA · Ann and H. J. Smead Department of Aerospace Engineering Sciences at the University of Colorado, Boulder, Boulder, CO · Draper

Kalman FilteringSelf-Supervised LearningEnsemble Kalman FilteringData-Efficient Learning
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May 18, 2026eess.SP

Learned Memory Attenuation in Sage-Husa Kalman Filters for Robust UAV State Estimation

Unmanned Aerial Vehicles in dynamic environments face telemetry outages, structural vibrations, and regime-dependent noise that invalidate the stationary covariance assumptions of classical Kalman filters. The Sage-Husa Kalman Filter (SHKF) estimates noise statistics online, but its reliance on a static, scalar forgetting factor forces a strict compromise between steady-state stability and transient responsiveness. We introduce the N-Deep Recurrent Sage-Husa Filter (NDR-SHKF), which replaces this scalar parameter with a vector-valued memory attenuation policy learned by a hierarchical recurrent network operating on whitened innovation sequences. A bifurcated architecture routes shallow recurrent states to capture instantaneous sensor anomalies and deep states to encode sustained dynamic trends, while an auxiliary reconstruction objective prevents feature collapse. The complete filter, including recursive covariance updates, is trained end-to-end via backpropagation through time to directly minimize state estimation error. Evaluations on topologically distinct chaotic attractors demonstrate cross-domain generalization, outperforming purely data-driven baselines that diverge under out-of-distribution dynamics. Furthermore, evaluations on recorded real-world UAV flight datasets validate the framework's practical viability, demonstrating its capacity to bridge transitions into proprioceptive dead reckoning and outperform classical adaptive estimators during sensor outages.

Kenan Majewski, Marcin Żugaj

Institute of Aeronautics and Applied Mechanics, Warsaw University of Technology, Nowowiejska 24, Warsaw, 00-665, Poland

Kalman FilteringUAV NavigationRecurrent Neural NetworksEnsemble Kalman Filtering
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May 4, 2026cs.LG

Pose Tracking with a Foundation Pose Model and an Ensemble Directional Kalman Filter

This paper introduces the ensemble directional Kalman filter (EnDKF), an ensemble-based Kalman filtering approach for pose tracking that jointly estimates an object's position and attitude using ideas from directional statistics. The EnDKF integrates a unit-quaternion attitude representation to move beyond canonical Kalman filter mean and covariance assumptions that poorly capture directional uncertainty. Experiments on a synthetic constant-velocity constant-angular-velocity system and a digital-twin head-tracking scenario using the FoundationPose algorithm demonstrate a significant reduction in error as opposed to merely using measurements.

Tianlu Lu, Asif Sijan, Thomas Noh +2

Information and Computer Sciences Department at the University of Hawaii at Manoa · John A. Burns School of Medicine at the University of Hawaii at Manoa

Kalman FilteringObject Pose EstimationEnsemble Kalman Filtering
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Aug 18, 2025stat.ML

Flow Matching for Efficient and Scalable Data Assimilation

Data assimilation (DA) estimates a dynamical system's state from noisy observations. Recent generative models like the ensemble score filter (EnSF) improve DA in high-dimensional nonlinear settings but are computationally expensive. We introduce the ensemble flow filter (EnFF), a training-free, flow matching (FM)-based framework that accelerates sampling and offers flexibility in flow design. EnFF uses Monte Carlo estimators for the marginal flow field, localized guidance for observation assimilation, and utilizes a novel flow path that exploits the Bayesian DA formulation. It generalizes classical filters such as the bootstrap particle filter and ensemble Kalman filter. Experiments on high-dimensional benchmarks demonstrate EnFF's improved cost-accuracy tradeoffs and scalability, highlighting FM's potential for efficient, scalable DA. Code is available at https://github.com/Utah-Math-Data-Science/Data-Assimilation-Flow-Matching.

Taos Transue, Bohan Chen, So Takao +1

Department of Mathematics and Scientific Computing and Imaging Institute, University of Utah, Salt Lake City, UT, 84112 · The Computing and Mathematical Sciences Department, California Institute of Technology, 1200 E California Blvd, Pasadena, CA 91125

Flow MatchingKalman FilteringBayesian FilteringData AssimilationEnsemble Kalman Filtering
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