Use of uninformative priors to initialize state estimation for dynamical systems

Abstract

The admissible region must be expressed probabilistically in order to be used in Bayesian estimation schemes. When treated as a probability density function (PDF), a uniform admissible region can be shown to have non-uniform probability density after a transformation. An alternative approach can be used to express the admissible region probabilistically according to the Principle of Transformation Groups. This paper uses a fundamental multivariate probability transformation theorem to show that regardless of which state space an admissible region is expressed in, the probability density must remain the same under the Principle of Transformation Groups. The admissible region can be shown to be analogous to an uninformative prior with a probability density that remains constant under reparameterization. This paper introduces requirements on how these uninformative priors may be transformed and used for state estimation and the difference in results when initializing an estimation scheme via a traditional transformation versus the alternative approach.