Kalman filtering for prognostics

June 3, 2024

The following presentation is largely based on Tim Sullivan’s UQ book which I highly recommend. It gives clear and concise mathematical presentations of various topics in UQ. Suppose we have a state-observation model that is linear and additive. The state/variable under scrutiny here is linked to a degradation phenomenon, moreover the degradation dynamics here are supposed to be linear. For non-linear dynamics, non-parametric methods exist, especially using particle filters. For the moment let the system be defined as:

Conformal Prediction for Regression

August 10, 2023

We fix a probability space $(\Omega,\mathcal{F},\mathbb{P})$. We denote by $2^{\mathbf{X}}$ the set of subsets of the set $\mathbf{X}$.