Nonlinear Kalman Filtering With Divergence Minimization

DOI10.1109/TSP.2017.2752729MaRDI QIDQ4628132zbMATH OpenFDO

Authors San Gultekin, John Paisley

Publication date 6 March 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.00722

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35) Measures of information, entropy (94A17)

Abstract: We consider the nonlinear Kalman filtering problem using Kullback-Leibler (KL) and $alpha$-divergence measures as optimization criteria. Unlike linear Kalman filters, nonlinear Kalman filters do not have closed form Gaussian posteriors because of a lack of conjugacy due to the nonlinearity in the likelihood. In this paper we propose novel algorithms to optimize the forward and reverse forms of the KL divergence, as well as the alpha-divergence which contains these two as limiting cases. Unlike previous approaches, our algorithms do not make approximations to the divergences being optimized, but use Monte Carlo integration techniques to derive unbiased algorithms for direct optimization. We assess performance on radar and sensor tracking, and options pricing problems, showing general improvement over the UKF and EKF, as well as competitive performance with particle filtering.

Cited in

(9)

• Nonlinear Kalman filtering via ultradiscretization procedure
• Fractional Kalman filters
• Mean-square estimation of nonlinear functionals via Kalman filtering
• A new enabling variational inference model for approximating measurement likelihood in filtering nonlinear system
• The Discriminative Kalman Filter for Bayesian Filtering with Nonlinear and Nongaussian Observation Models
• Forward modeling and inverse estimation for nonlinear filtering
• Adaptive cultural algorithm-based cuckoo search for time-dependent vehicle routing problem with stochastic customers using adaptive fractional Kalman speed prediction
• Kalman filter with a non-linear non-Gaussian observation relation
• A novel nonlinear filter through constructing the parametric Gaussian regression process

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