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Bayesian Quadrature Variance in Sigma-Point Filtering

  • Jakub Prüher
  • Miroslav Šimandl
Conference paper
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 383)

Abstract

Sigma-point filters are algorithms for recursive state estimation of the stochastic dynamic systems from noisy measurements, which rely on moment integral approximations by means of various numerical quadrature rules. In practice, however, it is hardly guaranteed that the system dynamics or measurement functions will meet the restrictive requirements of the classical quadratures, which inevitably results in approximation errors that are not accounted for in the current state-of-the-art sigma-point filters. We propose a method for incorporating information about the integral approximation error into the filtering algorithm by exploiting features of a Bayesian quadrature—an alternative to classical numerical integration. This is enabled by the fact that the Bayesian quadrature treats numerical integration as a statistical estimation problem, where the posterior distribution over the values of the integral serves as a model of numerical error. We demonstrate superior performance of the proposed filters on a simple univariate benchmarking example.

Keywords

Nonlinear filtering Sigma-point filter Gaussian filter Integral variance Bayesian quadrature Gaussian process 

Notes

Acknowledgments

This work was supported by the Czech Science Foundation, project no. GACR P103-13-07058J.

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Copyright information

© Springer International Publishing Switzerland 2016

Authors and Affiliations

  1. 1.European Center of Excellence - New Technologies for the Information SocietyFaculty of Applied Sciences, University of West BohemiaPilsenCzech Republic

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