Continuous-discrete extended Kalman filtering based on the neural ordinary differential equations method

Abstract

In bearings-only tracking (BOT), the accuracy of state estimation significantly diminishes when confronted with an unknown target motion model. Therefore, this study proposed a novel continuous-discrete filtering algorithm, the neural ordinary differential equations-based continuous-discrete extended Kalman filtering (NODE-CD-EKF). The approach utilizes the neural ordinary differential equation (NODE) to build the target's system model, which is then used in the time update to precisely predict the target state at the next time point within the continuous-discrete Kalman framework. The NODE concisely and accurately describes the motion model in the form of ordinary differential equations in a data-driven way. This approach addresses the limitations of traditional Kalman filters, which suffer from degraded performance due to a lack of a precise mathematical model of target states. Our method is evaluated and compared to existing multiple-model and other data-driven algorithms in simulations of BOT and another scenario using the Accumulated Root Mean Square Error (ARMSE) of position. The ARMSE of our method is only 16.30 % of the multiple-model methods at least. Overall, this approach outperforms other multiple-model and data-driven algorithms and possesses the potential for solving other nonlinear tasks in real-world applications.