RTSNET: Deep Learning Aided Kalman Smoothing

The smoothing task is the core of many signal processing applications. It deals with the recovery of a sequence of hidden state variables from a sequence of noisy observations in a one-shot manner. In this work, we propose RTSNet, a highly efficient model-based, and data-driven smoothing algorithm. RTSNet integrates dedicated trainable models into the flow of the classical Rauch-Tung-Striebel (RTS) smoother and is able to outperform it when operating under model mismatch and non-linearities while retaining its efficiency and interoperability. Our numerical study demonstrates that althoughRTSNet is based on more compact neural networks, which leads to faster training and inference times, it outperforms the state-of-the-art data-driven smoother in a non-linear use case.