The geometry of low-rank Kalman filters

DOI10.1007/978-3-642-30232-9_3MaRDI QIDQ5325892zbMATHOpenAlexFDO

Authors Silvère Bonnabel, Rodolphe Sepulchre

Publication date 31 July 2013

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

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

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)

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.

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Cited in

(8)

• Low-rank plus diagonal approximations for Riccati-like matrix differential equations
• Rank deficiency of Kalman error covariance matrices in linear time-varying system with deterministic evolution
• Low-rank multi-parametric covariance identification
• On the convergence of degenerate risk sensitive filters
• Geometry of Kalman filters
• Rank-preserving geometric means of positive semi-definite matrices
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Geometry of the Kimura-Georgiou parametrization of modelling filters

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