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Data-driven Optimal Filtering for Linear Systems with Unknown Noise Covariances

Neural Information Processing Systems

This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization problem, aiming to minimize the output prediction error. This formulation provides a direct bridge between data-driven optimal control and, its dual, optimal filtering.






OxonFair: A Flexible Toolkit for Algorithmic Fairness

Neural Information Processing Systems

This makes it easily extensible and much more expressive than existing toolkits. It supports all 9 and all 10 of the decision-based group metrics of two popular review articles.