Pathspace Kalman Filters with Dynamic Process Uncertainty for Analyzing Time-course Data

Kalman Filter (KF) is an optimal linear state prediction algorithm, with applications in fields as diverse as engineering, economics, robotics, and space exploration. Here, we develop an extension of the KF, called a Pathspace Kalman Filter (PKF) which allows us to a) dynamically track the uncertainties associated with the underlying data and prior knowledge, and b) take as input an entire trajectory and an underlying mechanistic model, and using a Bayesian methodology quantify the different sources of uncertainty. An application …

algorithm applications course cs.lg data diverse dynamic economics engineering exploration extension fields filter filters linear prediction process q-bio.qm robotics space state stat.ml uncertainty