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Communication Dans Un Congrès Année : 2022

The continuous-discrete variational Kalman filter (CD-VKF)


We consider the filtering problem of estimating the state of a continuous-time dynamical process governed by a nonlinear stochastic differential equation and observed through discrete-time measurements. As the Bayesian posterior density is difficult to compute, we use variational inference (VI) to approximate it. This is achieved by seeking the closest Gaussian density to the posterior, in the sense of the Kullback- Leibler divergence (KL). The obtained algorithm, called the continuous-discrete variational Kalman filter (CD-VKF), provides implicit formulas that solve the considered problem in closed form. Our framework avoids local linearization, and the estimation error is globally controlled at each step. We first clarify the connections between well known nonlinear Kalman filters and VI, then develop closed form approximate formulas for the CD-VKF. Our algorithm achieves state-of-the-art performances on the problem of reentry tracking of a space capsule.
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Dates et versions

hal-03665666 , version 1 (12-05-2022)
hal-03665666 , version 2 (03-09-2022)


  • HAL Id : hal-03665666 , version 2


Marc Lambert, Silvère Bonnabel, Francis Bach. The continuous-discrete variational Kalman filter (CD-VKF). 61st IEEE Conference on Decision and Control, Dec 2022, Cancun, Mexico. ⟨hal-03665666v2⟩
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