Rupam Kalyan Chakraborty

Bayesian Learning-Based Kalman Smoothing For Linear Dynamical Systems With Unknown Sparse Inputs

We consider the problem of jointly estimating the states and sparse inputs of a linear dynamical system using noisy low-dimensional observations. We exploit the underlying sparsity in the inputs using fictitious sparsity-promoting Gaussian priors with unknown variances (as hyperparameters). We devel…