Nonlinear Bayesian filtering via holonomic gradient method with quasi moment generating function

Abstract

SummaryA symbolic‐numeric method is proposed for addressing the Bayesian filtering problems of a class of discrete‐time nonlinear stochastic systems. We first approximate the posterior probability density function to be Gaussian. The update law of the mean and variance is formulated as the evaluation of several integrals depending on certain parameters. Unlike existing methods, such as the extended Kalman filter (EKF), unscented Kalman filter (UKF), and particle filter (PF), this formulation considers the nonlinearity of system dynamics exactly. To evaluate the integrals efficiently, we introduce an integral transform motivated by the moment generating function (MGF), which we call a quasi MGF. Furthermore, the quasi MGF is compatible with the Fourier transform of differential operators. We utilize this compatibility to decrease the number of computations of Gröbner bases in the noncommutative rings of differential operators, which reduces the offline computational time. A numerical example is presented to show the efficiency of the proposed method compared to that of other existing methods such as the EKF, UKF, and PF.