Joint State Estimation and Noise Identification Based on Variational Optimization

In this article, the state estimation problems with unknown process noise and measurement noise covariances for both linear and nonlinear systems are considered. By formulating the joint estimation of system state and noise parameters into an optimization problem, a novel adaptive Kalman filter method based on conjugate-computation variational inference, referred to as CVIAKF, is proposed to approximate the joint posterior probability density function of the latent variables. Unlike the existing adaptive Kalman filter methods utilizing variational inference in natural-parameter space, CVIAKF performs optimization in expectation-parameter space, resulting in a faster and simpler solution. Meanwhile, CVIAKF divides optimization objectives into conjugate and non-conjugate parts of nonlinear dynamical models, whereas conjugate computations and stochastic mirror-descent are applied, respectively. Remarkably, the reparameterization trick is used to reduce the variance of stochastic gradients of the non-conjugate parts. The effectiveness of CVIAKF is validated through synthetic and real-world datasets of maneuvering target tracking.

Variational Nonlinear Kalman Filtering with Unknown Process Noise Covariance

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models. Due to the nonlinearity of the models and the non-conjugate prior, the state estimation problem is generally intractable as it involves integrals of general nonlinear functions and unknown process noise covariance, resulting in the posterior probability distribution functions lacking closed-form solutions. This paper presents a recursive solution for joint nonlinear state estimation and model parameters identification based on the approximate Bayesian inference principle. The stochastic search variational inference is adopted to offer a flexible, accurate, and effective approximation of the posterior distributions. We make two contributions compared to existing variational inference-based noise adaptive filtering methods. First, we introduce an auxiliary latent variable to decouple the latent variables of dynamic state and process noise covariance, thereby improving the flexibility of the posterior inference. Second, we split the variational lower bound optimization into conjugate and non-conjugate parts, whereas the conjugate terms are directly optimized that admit a closed-form solution and the non-conjugate terms are optimized by natural gradients, achieving the trade-off between inference speed and accuracy. The performance of the proposed method is verified on radar target tracking applications by both simulated and real-world data.