Low-rank Tensor Integration for Gaussian Filtering of Continuous Time Nonlinear Systems

Abstract

Integration-based Gaussian filters such as un-scented, cubature, and Gauss-Hermite filters are effective ways to assimilate data and models within nonlinear systems. Traditionally, these filters have only been applicable for systems with a handful of states due to stability and scalability issues. In this paper, we present a new integration method for scaling quadrature-based filters to higher dimensions. Our approach begins by decomposing the dynamics and observation models into separated, low-rank tensor formats. Once in low-rank tensor format, adaptive integration techniques may be used to efficiently propagate the mean and covariance of the distribution of the system state with computational complexity that is polynomial in dimension and rank. Simulation results are shown on nonlinear chaotic systems with 20 state variables.