Author Publications

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Number of items: 87.

2013

Aihara, Shin Ichi and Bagchi, Arunabha (2013) Parameter identification of stochastic diffusion systems with unknown boundary conditions. [Report]

Aihara, Shin Ichi and Bagchi, Arunabha and Saha, Saikat (2013) Adaptive filtering for stochastic volatility by using exact sampling. In: 10th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2013, 29-31July 2013, Reykjavik, Iceland (pp. pp. 326-335).

Bocquel, Mélanie and Driessen, Hans and Bagchi, Arun (2013) Multitarget tracking with IP reversible jump MCMC-PF. In: 16th International Conference on Information Fusion, Fusion 2013, 9-12 July 2013, Istanbul, Turkey (pp. pp. 556-563).

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, J.N. (2013) Particle based smoothed marginal MAP estimation for general state space models. IEEE Transactions on Signal Processing, 61 (2). pp. 264-273. ISSN 1053-587X

2012

Aihara, ShinIchi and Bagchi, Arunabha (2012) Adaptive filtering for stochastic risk premia in bond market. International journal of innovative computing, information and control, 8 (3(B)). pp. 2203-2214. ISSN 1349-4198

Aihara, ShinIchi and Bagchi, Arunabha and Saha, Saikat (2012) Identification of Bates stochastic volatility model by using non-central chi-square random generation method. In: IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2012, March 25-30, 2012, Kyoto, Japan (pp. pp. 3905-3908).

Aoki, E.H. and Boers, Y. and Mandal, P.K. and Bagchi, Arunabha (2012) SMC methods to avoid self-resolving for online Bayesian parameter estimation. In: 15th International Conference on Information Fusion, FUSION 2012, 9-12 July 2012, Singapore (pp. pp. 98-105).

Aoki, E.H. and Boers, Y. and Svensson, L. and Mandal, P.K. and Bagchi, A. (2012) The Rao-Blackwellized marginal M-SMC filter for Bayesian multi-target tracking and labelling. In: 15th International Conference on Information Fusion, FUSION 2012, 9-12 July 2012, Singapore (pp. pp. 90-97).

Aoki, E.H. and Boers, Y. and Svensson, L. and Mandal, P.K. and Bagchi, A. (2012) A Bayesian look at the optimal track labelling problem. In: 9th IET Data Fusion & Target Tracking Conference, DF&TT 2012, 16-17 May 2012, London, UK (pp. pp. 60-65).

Aoki, Edson H. and Boers, Yvo and Svensson, Lennart and Mandal, Pranab K. and Bagchi, Arunabha (2012) An analysis of the Bayesian track labelling problem. [Report]

Bocquel, Mélanie and Driessen, H. and Bagchi, Arun (2012) Multitarget particle filter addressing ambiguous radar data in TBD. In: Proceedings of the 2012 IEEE National Radar Conference, 7-11 May 2012, Atlanta, GA (pp. 0575-0580).

Bocquel, Mélanie and Driessen, Hans and Bagchi, Arun (2012) Multitarget tracking with interacting population-based MCMC-PF. In: 15th International Conference on Information Fusion, FUSION 2012, 9-12 July 2012, Singapore (pp. pp. 74-81).

2011

Aihara, ShinIchi and Bagchi, Arunabha and Imreizeeq, Emad (2011) Identification of electricity spot models by using convolution particle filter. International journal of innovative computing, information and control, 7 (1). pp. 61-72. ISSN 1349-4198

Aoki, E.H. and Bagchi, A. and Mandal, P. and Boers, Y. (2011) On the "near-universal proxy" argument for theoretical justification of information-driven sensor management. In: IEEE Statistical Signal Processing Workshop, SSP 2011, 28-30 June 2011, Nice, France (pp. pp. 245-248).

Aoki, Edson Hiroshi and Bagchi, Arunabha and Mandal, Pranab and Boers, Yvo (2011) Particle filter approximations for general open loop and open loop feedback sensor management. [Report]

Aoki, Edson Hiroshi and Bagchi, Arunabha and Mandal, Pranab and Boers, Yvo (2011) A theoretical analysis of Bayes-optimal multi-target tracking and labelling. [Report]

Aoki, Edson Hiroshi and Bagchi, Arunabha and Mandal, Pranab and Boers, Yvo (2011) A theoretical look at information-driven sensor management criteria. In: 14th International Conference on Information Fusion, FUSION 2011, 5-8 July 2011, Chicago, IL, USA.

Das, Iswar and Kumar, Gaurev and Stein, Alfred and Bagchi, Arunabha and Dadhwal, Vinay K. (2011) Stochastic landslide vulnerability modeling in space and time in a part of the northern Himalayas, India. Environmental monitoring and assessment, 178 (1-4). pp. 25-37. ISSN 0167-6369

2010

Aihara, Shin Ichi and Bagchi, Arunabha (2010) Identification of affine term structures from yield curve data. International journal of theoretical and applied finance , 13 (2). pp. 259-283. ISSN 0219-0249

Boers, Yvo and Driessen, Hans and Bagchi, Arunabha and Mandal, Pranab (2010) Particle filter based entropy. In: 13th International Conference on Information Fusion, FUSION 2010, 26-29 July 2010, Edinburgh, UK.

2009

Aihara, S. and Bagchi, A. and Imreizeeq, E.S.N. (2009) Parameter estimation of electricity spot models from futures prices. In: Proceedings of the 15th IFAC Symposium on System Identification, 6-8 July 2009, Saint-Malo (pp. pp. 1457-1462).

Aihara, ShinIchi and Bagchi, Arunabha and Saha, Saikat (2009) On parameter estimation of stochastic volatility models from stock data using particle filter - Application to AEX index -. International journal of innovative computing, information and control, 5 (1). pp. 17-27. ISSN 1349-4198

Bagchi, Arunabha and Suresh Kumar, K. (2009) Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach. Stochastics : An International Journal of Probability and Stochastic Processes, 81 (5). pp. 503-530. ISSN 1744-2508

Nurdin, Hendra I. and Mazumdar, Ravi R. and Bagchi, Arunabha (2009) Reduced-dimension linear transform coding of distributed correlated signals with incomplete observations. IEEE Transactions on Information Theory, 55 (6). pp. 2848-2858. ISSN 0018-9448

Saha, S. and Boers, Y. and Driessen, J.N. and Mandal, P.K. and Bagchi, A. (2009) Particle filter based MAP state estimation: a comparison. In: 12th International Conference on Information Fusion 2009, 6-9 July, 2009, Seattle, USA (pp. pp. 278-283).

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, H. (2009) Parameter estimation in a general state space model from short observation data: A SMC based approach. In: 2009 IEEE/SP 15th Workshop on Statistical Signal Processing, 31 Aug - 03 Sep 2009, Cardiff, UK (pp. pp. 41-44).

2008

Aihara, Shin Ichi and Bagchi, Arunabha (2008) Filtering and identification of affine term structures from yield curve data. [Report]

Aihara, Shin Ichi and Bagchi, Arunabha and Saha, Saikat (2008) Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter. In: 17th IFAC World Congress, 06-11 July 2008, Seoul (pp. pp. 6490-6495).

Saha, S. and Mandal, P.K. and Bagchi, A. (2008) A new approach to particle based smoothed marginal MAP. In: 16th European Signal Processing Conference, EUSIPCO, 25-29 August 2008, Lausanne, Switzerland.

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, H. (2008) On the Monte Carlo marginal MAP estimator for general state space models. [Report]

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. and Bagchi, A. (2008) Gaussian proposal density using moment matching in SMC methods. Statistics and Computing, 19 (2). pp. 203-208. ISSN 0960-3174

2007

Aihara, Shin Ichi and Bagchi, Arunabha (2007) Recursive parameter identification for infinite-dimensional factor model by using particle filter. In: 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 9-10 Nov 2006, Suwa, Nagano, Japan (pp. pp. 40-45).

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. and Bagchi, A. (2007) Gaussian proposal density using moment matching in SMC methods. [Report]

2006

Aihara, S.I. and Bagchi, A. (2006) Parameter estimation of parabolic type factor model and empirical study of US treasury bonds. In: 22nd IFIP TC7 Conference on System Modeling and Optimization 2005, July 18-22, 2005, Turin, Italy (pp. pp. 207-217).

Aihara, ShinIchi and Bagchi, Arunabha (2006) Filtering and identification of Heston's stochastic volatility model and its market risk. Journal of economic dynamics & control, 30 (12). pp. 2363-2388. ISSN 0165-1889

Aihara, ShinIchi and Bagchi, Arunabha (2006) Filtering and identification of stochastic volatility for parabolic type factor models. International journal of innovative computing, information and control, 2 (5). pp. 1-9. ISSN 1349-4198

Krystul, Jaroslav and Blom, Henk A.P. and Bagchi, Arunabha (2006) Stochastic Differential Equations on Hybrid State Spaces. In: Stochastic Hybrid Systems. Automation and Control Engineering Series . Taylor & Francis CRC Press, pp. 15-46. ISBN 9780849390838

Nurdin, Hendra I. and Bagchi, Arunabha (2006) On the Solutions of the Rational Covariance Extension Problem Corresponding to Pseudopolynomials Having Boundary Zeros. IEEE Transactions on Automatic Control, 51 (2). pp. 350-355. ISSN 0018-9286

2005

Aihara, Shin Ichi and Bagchi, Arunabha (2005) Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing. Mathematical Finance, 15 (1). pp. 27-47. ISSN 0960-1627

Ghosh, Mrinal K. and Bagchi, Arunabha (2005) Modeling stochastic hybrid systems. In: System modeling and optimization: proceedings of the 21st IFIP TC7 Conference held in July 21st-25th, 2003, Sophia Antipolis, France. IFIP International Federation for Information Processing, 166 . Kluwer Academic. ISBN 9781402077609

2004

Nurdin, H.I. and Bagchi, A. (2004) On the solutions of the rational covariance extension problem corresponding to pseudopolynomials having boundary zeros. [Report]

Nurdin, H.I. and Bagchi, A. (2004) An approach to rational approximation of power spectral densities on the unit circle. [Report]

Nurdin, Hendra I. and Bagchi, Arunabha (2004) On the solutions of the rational covariance extension problem corresponding to pseudopolynomials having boundary zeros. In: 43rd IEEE Conference on Decision and Control, CDC, 14-17 December 2004 , Nassau, Bahamas (pp. pp. 5386-5391).

2003

Nurdin, H.I. and Mazumdar, R. and Bagchi, A. (2003) On the estimation and compression of distributed correlated signals with incomplete observations. [Report]

1998

Ghosh, M.K. and Bagchi, A. (1998) Stochastic games with average payoff criterion. Applied mathematics and optimization, 38 (3). pp. 283-301. ISSN 0095-4616

1997

Bagchi, Arunabha and Chen, Han-Fu (1997) Optimal adaptive control for a class of stochastic systems. Sadhana : Academy proceedings in engineering science, 22 (4). pp. 485-498. ISSN 0256-2499

Hupkens, Erik P. and Bagchi, Arunabha (1997) Quickest detection of changes in random fields. In: IEEE International Symposium on Information Theory, 29 June - 4 July 1997, Rethymnon, Crete, Greece.

1996

Bagchi, A. and Evans, A.G. (1996) The mechanics and physics of thin film decohesion and its measurement. Interface science, 3 (3). pp. 169-193. ISSN 0927-7056

Hupkens, Erik P. and Bagchi, Arunabha (1996) The detection of local changes in (semi-) causal stochastic fields. [Report]

1995

Aihara, Shin Ichi and Bagchi, Arunabha (1995) Nonlinear smoothing for random fields. Stochastic Processes and Their Applications, 55 (1). pp. 143-158. ISSN 0304-4149

Bagchi, Arunabha and Chen, Han-Fu (1995) Optimal adaptive control for a class of stochastic systems. In: American Control Conference, June 21-23, 1995, Seattle, Washington (pp. pp. 2015-2019).

Mazumdar, Ravi R. and Kannurpatti, Raghavan and Bagchi, Arunabha (1995) On input/output maps for nonlinear systems via continuity in a locally convex topology. Systems & Control Letters, 24 (4). pp. 273-281. ISSN 0167-6911

1994

Bagchi, A. and Bose, S.K. (1994) Acoustic plane wave reflection from a composite laminate: normal incidence. Journal of Sound and Vibration, 173 (1). pp. 43-55. ISSN 0022-460X

Bagchi, Arunabha (1994) Foreword. Acta applicandae mathematicae, 35 (1-2). pp. 1-3. ISSN 0167-8019

Bagchi, Arunabha and Brummelhuis, Paul ten (1994) Parameter identification in tidal models with uncertain boundaries. Automatica, 30 (5). pp. 745-759. ISSN 0005-1098

Bagchi, Arunabha and Karandikar, Rajeeva (1994) White noise theory of robust nonlinear filtering with correlated state and observation noises. Systems & Control Letters, 23 (2). pp. 137-148. ISSN 0167-6911

Bagchi, Arunabha and Mazumdar, Ravi (1994) Some recent results in finitely additive white noise theory. Acta applicandae mathematicae, 35 (1-2). pp. 27-47. ISSN 0167-8019

1993

Bagchi, Arunabha and Kelemen, Matei (1993) Modeling and feedback control of a flexible arm of a robot for prescribed frequency-domain tolerances. Automatica, 29 (4). pp. 899-909. ISSN 0005-1098

Bagchi, Arunabha and Mazumdar, Ravi R. (1993) On Radon-Nikodym derivatives of finitely-additive measures induced by nonlinear transformations on hilbert space. Nonlinear Analysis: Theory, methods & analysis, 21 (12). pp. 879-902. ISSN 0362-546X

1992

Bagchi, Arunabha and Karandikar, Rajeeva (1992) White noise theory of robust nonlinear filtering with correlated state and observation noises. In: 31st IEEE Conference on Decision and Control, December 1992, Tucson, Arizona (pp. pp. 1245-1246).

1991

Aihara, Shin Ichi and Bagchi, Arunabha (1991) Parameter identification for hyperbolic stochastic systems. Journal of Mathematical Analysis and Applications, 160 (2). pp. 485-499. ISSN 0022-247X

Luesink, Rob and Bagchi, Arunabha (1991) Krein factorization of covariance operators of 2-parameter random fields and application to the likelihood ratio. IEEE Transactions on Information Theory, 37 (1). pp. 53-59. ISSN 0018-9448

1990

Bagchi, A. and Brummelhuis, P.G.J. ten (1990) Simultaneous ML estimation of state and parameters for hyperbolic systems with noisy boundary condition. In: 29th IEEE Conference on Decision and Control, 1990, Honolulu, Hawaii (pp. pp. 222-224).

Bagchi, A. (1990) Stochastic optimal control / by R.F. Stengel. [Review of the book ] , New York, NY, USA, pp. 320-323. ISBN 9780471864622

Bagchi, Arunabha (1990) Boundary value processes: estimation and identification. Computers & Mathematics with Applications, 19 (1). pp. 9-19. ISSN 0898-1221

1989

Aihara, ShinIchi and Bagchi, Arunabha (1989) Infinite dimensional parameter identification for stochastic parabolic systems. Statistics & probability letters, 8 (3). pp. 279-287. ISSN 0167-7152

Bagchi, A. (1989) Book review: Stochastic differential systems—Analysis and filtering / by V.S. Pugachev and I.N. Sinitsyn. - Chichester : Wiley, 1987. - ISBN 0-471-91243-3. Automatica, 25 (4). pp. 639-640. ISSN 0005-1098

Bagchi, Arunabha and Westdijk, Hans (1989) Smoothing and likelihood ratio for Gaussian boundary value processes. IEEE Transactions on Automatic Control, 34 (9). pp. 954-962. ISSN 0018-9286

1987

Aihara, S.-I. and Bagchi, A. (1987) Linear-quadratic stochastic differential games for distributed parameter systems. Computers & Mathematics with Applications, 13 (1-3). pp. 247-259. ISSN 0898-1221

1985

Bagchi, Arunabha (1985) Identification of a hereditary system with distributed delay. Systems & Control Letters, 5 (5). pp. 339-345. ISSN 0167-6911

Bagchi, Arunabha (1985) Book review: Probability theory and mathematical statistics / by V.S. Pugachev. - Oxford : Pergamon Press, 1984. - ISBN 0-08-029148-1. Automatica, 21 (4). p. 504. ISSN 0005-1098

1984

Bagchi, Arunabha (1984) Research survey. Automatica, 20 (4). p. 485. ISSN 0005-1098

1983

Bagchi, A. and Strijbos, R.C.W. (1983) Authors' reply. IEEE Transactions on Automatic Control, 28 (8). p. 867. ISSN 0018-9286

Bagchi, Arunabha and Olsder, Geert Jan (1983) Numerical approaches to linear—quadratic differential games with imperfect observations. Journal of the Franklin Institute, 315 (5-6). pp. 423-433. ISSN 0016-0032

1982

Bagchi, A. and Strijbos, R.C.W. (1982) Decoupled decomposition of the Riccati equation. IEEE Transactions on Automatic Control, 27 (3). pp. 696-698. ISSN 0018-9286

Bagchi, A. and Reingold, E.M. (1982) Aspects of insertion in random trees. Computing, 29 (1). pp. 11-29. ISSN 0010-485X

1981

Bagchi, A. and Basar, T. (1981) Stackelberg strategies in linear-quadratic stochastic differential games. Journal of optimization theory and applications, 35 (3). pp. 443-464. ISSN 0022-3239

Bagchi, A. and Olsder, G.J. and Strijbos, R.C.W. (1981) Regional allocation of investment as a hierarchical optimization problem. Regional Science and Urban Economics, 11 (2). pp. 205-213. ISSN 0166-0462

Bagchi, Arunabha and Olsder, Geert Jan (1981) Linear-quadratic stochastic pursuit-evasion games. Applied mathematics and optimization, 7 (19). pp. 95-123. ISSN 0095-4616

1980

Bagchi, Arunabha and Basar, Tamar (1980) Team decision theory for linear continuous-time systems. IEEE Transactions on Automatic Control, 25 (6). pp. 1154-1161. ISSN 0018-9286

Bagchi, Arunabha and Schilperoort, Tom (1980) Optimal linear stochastic control for systems with multiplicative noise. IEEE Transactions on Automatic Control, 25 (5). pp. 1005-1007. ISSN 0018-9286

1978

Bagchi, Arunabha (1978) Control of linear stochastic time delayed systems. Journal of Mathematical Analysis and Applications, 63 (1). pp. 244-252. ISSN 0022-247X

1976

Bagchi, Arunabha (1976) Stochastic linear differential game with a square integrable martingale as noise. IEEE Transactions on Automatic Control, 21 (5). pp. 764-766. ISSN 0018-9286

Bagchi, Arunabha (1976) A martingale approach to state estimation in delay-differential systems. Journal of Mathematical Analysis and Applications, 56 (1). pp. 195-210. ISSN 0022-247X

Bagchi, Arunabha (1976) A new martingale approach to Kalman Filtering. Information Sciences, 10 (2). pp. 187-192. ISSN 0020-0255

1975

Bagchi, A. (1975) Symposium on stochastic control - Symposium sur le contrôle stochastique - Symposium über stochastische Steuerung : IFAC Report. Automatica, 11 (2). pp. 213-217. ISSN 0005-1098

Bagchi, A. (1975) Continuous time systems identification with unknown noise covariance = Systèmes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz. Automatica, 11 (5). pp. 533-536. ISSN 0005-1098

This list was generated on Fri Aug 22 05:24:33 2014 CEST.