The Invariant Extended Kalman Filter as a Stable Observer

DOI10.1109/TAC.2016.2594085zbMATH Open1366.93069arXiv1410.1465OpenAlexW1943808550MaRDI QIDQ5282425FDOQ5282425

Axel Barrau, Silvère Bonnabel

Publication date: 27 July 2017

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

Abstract: We analyze the convergence aspects of the invariant extended Kalman filter (IEKF), when the latter is used as a deterministic non-linear observer on Lie groups, for continuous-time systems with discrete observations. One of the main features of invariant observers for left-invariant systems on Lie groups is that the estimation error is autonomous. In this paper we first generalize this result by characterizing the (much broader) class of systems for which this property holds. Then, we leverage the result to prove for those systems the local stability of the IEKF around any trajectory, under the standard conditions of the linear case. One mobile robotics example and one inertial navigation example illustrate the interest of the approach. Simulations evidence the fact that the EKF is capable of diverging in some challenging situations, where the IEKF with identical tuning keeps converging.

Full work available at URL: https://arxiv.org/abs/1410.1465

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Observability (93B07) Algebraic methods (93B25)

Cited In (25)

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• Attitude observer on the special orthogonal group with Earth velocity estimation
• Set inversion and box contraction on Lie groups using interval analysis
• State estimation for invariant systems on Lie groups with delayed output measurements
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• Nonlinear observer design on SL(3) for homography estimation by exploiting point and line correspondences with application to image stabilization
• Recursive posterior Cramér-Rao lower bound on Lie groups
• A reduced parallel transport equation on Lie groups with a left-invariant metric
• A bundle framework for observer design on smooth manifolds with symmetry
• Robust observer design and Nash-game-driven fuzzy optimization for uncertain dynamical systems
• Exponentially stable observer-based controller for VTOL-UAVs without velocity measurements
• On the attitude estimation of nonholonomic wheeled mobile robots
• Extended invariant-EKF designs for state and additive disturbance estimation
• Angular and linear velocity observer design using vector and landmark measurements
• Linear observed systems on groups
• Invariant extended Kalman filter on matrix Lie groups
• Kalman–Bucy filter-based tracking controller design and experimental validations for a quadcopter with parametric uncertainties and disturbances
• Constructive synchronous observer design for inertial navigation with delayed GNSS measurements
• Observer design for visual-inertial estimation of pose, linear velocity and gravity direction in planar environments
• Nonlinear stochastic position and attitude filter on the special Euclidean group 3
• On Stability of a Class of Filters for Nonlinear Stochastic Systems
• Enhancing train position perception through AI-driven multi-source information fusion
• Finite time stable attitude estimation of rigid bodies with unknown dynamics
• Estimation for dynamical systems using a population-based Kalman filter -- applications in computational biology
• Symmetry reduction for dynamic programming

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