Inverse Particle and Ensemble Kalman Filters

In cognitive systems, recent emphasis has been placed on studying cognitive processes of the subject whose behavior was the primary focus of the system's cognitive response. This approach, known as inverse cognition, arises in counter-adversarial applications and has motivated the development of inverse Bayesian filters. In this context, a cognitive adversary, such as a radar, uses a forward Bayesian filter to track its target of interest. An inverse filter is then employed to infer adversary's estimate of target's or defender's state. Previous studies have addressed this inverse filtering problem by introducing methods like inverse Kalman filter (I-KF), inverse extended KF (I-EKF), and inverse unscented KF (I-UKF). However, these inverse filters assume additive Gaussian noises and/or rely on local approximations of non-linear dynamics at the state estimates, limiting their practical application. Contrarily, this paper adopts a global filtering approach and develops an inverse particle filter (I-PF). The particle filter framework employs Monte Carlo (MC) methods to approximate arbitrary posterior distributions. Moreover, under mild system-level conditions, the proposed I-PF demonstrates convergence to the optimal inverse filter. Additionally, we explore MC techniques to approximate Gaussian posteriors and introduce inverse Gaussian PF (I-GPF) and inverse ensemble KF (I-EnKF). Our I-GPF and I-EnKF can efficiently handle non-Gaussian noises with suitable modifications. Additionally, we propose the differentiable I-PF, differentiable I-EnKF, and reproducing kernel Hilbert space-based EnKF (RKHS-EnKF) methods to address scenarios where system information is unknown to defender. Using recursive Cram\'er-Rao lower bound and non-credibility index (NCI), our numerical experiments for different applications demonstrate the estimation performance and time complexity of the proposed filters.