Geometrically Intrinsic Nonlinear Recursive Filters I: Algorithms

The Geometrically Intrinsic Nonlinear Recursive Filter, or GI Filter, is designed to estimate an arbitrary continuous-time Markov diffusion process X subject to nonlinear discrete-time observations. The GI Filter is fundamentally different from the much-used Extended Kalman Filter (EKF), and its secondorder variants, even in the simplest nonlinear case, in that: ¥ It uses a quadratic function of a vector observation to update the state, instead of the linear function used by the EKF. ¥ It is based on deeper geometric principles, which make the GI Filter cošrdinate-invariant. This implies, for example, that if a linear system were subjected to a nonlinear transformation f of the state-space and analyzed using the GI Filter, the resulting state estimates and conditional variances would be the push-forward under f of the Kalman Filter estimates for the untransformed system a property which is not shared by the EKF or its second-order variants. The noise covariance of X and the observation covariance themselves induce geometries on state space and observation space, respectively, and associated canonical connections. A sequel to this paper develops stochastic differential geometry results Ð based on Òintrinsic location parametersÓ, a notion derived from the heat flow of harmonic mappings Ð from which we derive the cošrdinate-free filter update formula. The present article presents the algorithm with reference to a specific example Ð the problem of tracking and intercepting a target, using sensors based on a moving missile. Computational experiments show that, when the observation function is highly nonlinear, there exist choices of the noise parameters at which the GI Filter significantly outperforms the EKF. AMS (1991) SUBJECT CLASSIFICATION Primary: 93E11. Secondary: 60G35, 58G32