The geometry of low-rank Kalman filters

DOI10.1007/978-3-642-30232-9_3zbMATH Open1269.93120arXiv1203.4049OpenAlexW1881096647MaRDI QIDQ5325892FDOQ5325892

Authors: Silvère Bonnabel, Rodolphe Sepulchre 

Publication date: 31 July 2013

Published in: Matrix Information Geometry (Search for Journal in Brave)

Abstract: An important property of the Kalman filter is that the underlying Riccati flow is a contraction for the natural metric of the cone of symmetric positive definite matrices. The present paper studies the geometry of a low-rank version of the Kalman filter. The underlying Riccati flow evolves on the manifold of fixed rank symmetric positive semidefinite matrices. Contraction properties of the low-rank flow are studied by means of a suitable metric recently introduced by the authors.

Full work available at URL: https://arxiv.org/abs/1203.4049

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zbMATH Keywords

Kalman filtersymmetric positive definite matricesRiccati flowlow-rank flow

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Control/observation systems governed by ordinary differential equations (93C15) Estimation and detection in stochastic control theory (93E10)

Cited In (7)

• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Rank Deficiency of Kalman Error Covariance Matrices in Linear Time-Varying System With Deterministic Evolution
• Geometry of Kalman filters
• Geometry of the Kimura-Georgiou parametrization of modelling filters
• Low-rank plus diagonal approximations for Riccati-like matrix differential equations
• Rank-preserving geometric means of positive semi-definite matrices
• On the convergence of degenerate risk sensitive filters

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