Unscented Kalman Filters for Riemannian State-Space Systems

DOI10.1109/TAC.2018.2846684zbMATH Open1482.93633arXiv1806.11012WikidataQ115264342 ScholiaQ115264342MaRDI QIDQ5223655FDOQ5223655

Authors: Henrique M. Menegaz, Hugo T. M. Kussaba, João Y. Ishihara 

Publication date: 18 July 2019

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Abstract: Unscented Kalman Filters (UKFs) have become popular in the research community. Most UKFs work only with Euclidean systems, but in many scenarios it is advantageous to consider systems with state-variables taking values on Riemannian manifolds. However, we can still find some gaps in the literature's theory of UKFs for Riemannian systems: for instance, the literature has not yet i) developed Riemannian extensions of some fundamental concepts of the UKF theory (e.g., extensions of $sigma$-representation, Unscented Transformation, Additive UKF, Augmented UKF, additive-noise system), ii) proofs of some steps in their UKFs for Riemannian systems (e.g., proof of sigma points parameterization by vectors, state correction equations, noise statistics inclusion), and iii) relations between their UKFs for Riemannian systems. In this work, we attempt to develop a theory capable of filling these gaps. Among other results, we propose Riemannian extensions of the main concepts in the UKF theory (including closed forms), justify all steps of the proposed UKFs, and provide a framework able to relate UKFs for particular manifolds among themselves and with UKFs for Euclidean spaces. Compared with UKFs for Riemannian manifolds of the literature, the proposed filters are more consistent, formally-principled, and general. An example of satellite attitude tracking illustrates the proposed theory.

Full work available at URL: https://arxiv.org/abs/1806.11012

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Methods of local Riemannian geometry (53B21)

Cited In (4)

• On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
• Combined estimation of the parameters and states for a multivariable state‐space system in presence of colored noise
• Parameter estimation for a multi-input multi-output state-space system with unmeasurable states through the data filtering technique
• Variational unscented Kalman filter on matrix Lie groups

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