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Bayesian Filtering

bayesian filtering, fun for the whole family!

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Cristobal Valenzuela Musura

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0% found this document useful (0 votes)

47 views

Bayesian Filtering

bayesian filtering, fun for the whole family!

Uploaded by

Cristobal Valenzuela Musura

Available Formats

Download as PDF, TXT or read online on Scribd

You are on page 1/ 252

This PDF version is made available for personal use.

The copyright in all material rests with the author (Simo Sarkka). Commercial
reproduction is prohibited, except as authorised by the author and publisher.

BAYESIAN FILTERING AND

SMOOTHING
Simo Sarkka

Bayesian Filtering and Smoothing has been

published by Cambridge University Press, as
volume 3 in the IMS Textbooks series. It can be
purchased directly from Cambridge University
Press: www.cambridge.org/sarkka.
Please cite this book as:
Simo Sarkka (2013). Bayesian Filtering and
Smoothing. Cambridge University Press.

This PDF version is made available for personal use. The copyright in all material rests with the author (Simo Sarkka). Commercial
reproduction is prohibited, except as authorised by the author and publisher.

Contents

ix
xiii

Preface
Symbols and abbreviations
1

What are Bayesian filtering and smoothing?

1.1
Applications of Bayesian filtering and smoothing
1.2
Origins of Bayesian filtering and smoothing
1.3
Optimal filtering and smoothing as Bayesian inference
1.4
Algorithms for Bayesian filtering and smoothing
1.5
Parameter estimation
1.6
Exercises

1
1
7
8
12
14
15

Bayesian inference
2.1
Philosophy of Bayesian inference
2.2
Connection to maximum likelihood estimation
2.3
The building blocks of Bayesian models
2.4
Bayesian point estimates
2.5
Numerical methods
2.6
Exercises

17
17
17
19
20
22
24

Batch and recursive Bayesian estimation

3.1
Batch linear regression
3.2
Recursive linear regression
3.3
Batch versus recursive estimation
3.4
Drift model for linear regression
3.5
State space model for linear regression with drift
3.6
Examples of state space models
3.7
Exercises

27
27
30
31
34
36
39
46

Bayesian filtering equations and exact solutions

4.1
Probabilistic state space models
4.2
Bayesian filtering equations
4.3
Kalman filter

51
51
54
56

Contents

vi
4.4

Exercises

Extended and unscented Kalman filtering

5.1
Taylor series expansions
5.2
Extended Kalman filter
5.3
Statistical linearization
5.4
Statistically linearized filter
5.5
Unscented transform
5.6
Unscented Kalman filter
5.7
Exercises

General Gaussian filtering

6.1
Gaussian moment matching
6.2
Gaussian filter
6.3
GaussHermite integration
6.4
GaussHermite Kalman filter
6.5
Spherical cubature integration
6.6
Cubature Kalman filter
6.7
Exercises

96
96
97
99
103
106
110
114

Particle filtering
7.1
Monte Carlo approximations in Bayesian inference
7.2
Importance sampling
7.3
Sequential importance sampling
7.4
Sequential importance resampling
7.5
RaoBlackwellized particle filter
7.6
Exercises

116
116
117
120
123
129
132

Bayesian smoothing equations and exact solutions

8.1
Bayesian smoothing equations
8.2
RauchTungStriebel smoother
8.3
Two-filter smoothing
8.4
Exercises

134
134
135
139
142

Extended and unscented smoothing

9.1
Extended RauchTungStriebel smoother
9.2
Statistically linearized RauchTungStriebel smoother
9.3
Unscented RauchTungStriebel smoother
9.4
Exercises

144
144
146
148
152

General Gaussian smoothing

10.1 General Gaussian RauchTungStriebel smoother
10.2 GaussHermite RauchTungStriebel smoother

154
154
155

64
64
69
75
77
81
86
92

Contents
10.3
10.4
10.5
10.6

Cubature RauchTungStriebel smoother

General fixed-point smoother equations
General fixed-lag smoother equations
Exercises

vii
156
159
162
164

Particle smoothing
11.1 SIR particle smoother
11.2 Backward-simulation particle smoother
11.3 Reweighting particle smoother
11.4 RaoBlackwellized particle smoothers
11.5 Exercises

165
165
167
169
171
173

Parameter estimation
12.1 Bayesian estimation of parameters in state space models
12.2 Computational methods for parameter estimation
12.3 Practical parameter estimation in state space models
12.4 Exercises

174
174
177
185
202

Epilogue
13.1 Which method should I choose?
13.2 Further topics

204
204
206

Appendix
A.1
A.2
A.3
A.4

Additional material
Properties of Gaussian distribution
Cholesky factorization and its derivative
Parameter derivatives for the Kalman filter
Parameter derivatives for the Gaussian filter

References
Index

209
209
210
212
214
219
229

Preface

The aim of this book is to give a concise introduction to non-linear Kalman

filtering and smoothing, particle filtering and smoothing, and to the related parameter estimation methods. Although the book is intended to be
an introduction, the mathematical ideas behind all the methods are carefully explained, and a mathematically inclined reader can get quite a deep
understanding of the methods by reading the book. The book is purposely
kept short for quick reading.
The book is mainly intended for advanced undergraduate and graduate
students in applied mathematics and computer science. However, the book
is suitable also for researchers and practitioners (engineers) who need a
concise introduction to the topic on a level that enables them to implement
or use the methods. The assumed background is linear algebra, vector calR
culus, Bayesian inference, and MATLAB
programming skills.
As implied by the title, the mathematical treatment of the models and
algorithms in this book is Bayesian, which means that all the results are
treated as being approximations to certain probability distributions or their
parameters. Probability distributions are used both to represent uncertainties in the models and for modeling the physical randomness. The theories of non-linear filtering, smoothing, and parameter estimation are formulated in terms of Bayesian inference, and both the classical and recent
algorithms are derived using the same Bayesian notation and formalism.
This Bayesian approach to the topic is far from new. It was pioneered by
Stratonovich in the 1950s and 1960s even before Kalmans seminal article in 1960. Thus the theory of non-linear filtering has been Bayesian from
the beginning (see Jazwinski, 1970).
Chapter 1 is a general introduction to the idea and applications of
Bayesian filtering and smoothing. The purpose of Chapter 2 is to briefly
review the basic concepts of Bayesian inference as well as the basic
numerical methods used in Bayesian computations. Chapter 3 starts with
a step-by-step introduction to recursive Bayesian estimation via solving a
ix

Preface

linear regression problem in a recursive manner. The transition to Bayesian

filtering and smoothing theory is explained by extending and generalizing
the problem. The first Kalman filter of the book is also encountered in this
chapter.
The Bayesian filtering theory starts in Chapter 4 where we derive the
general Bayesian filtering equations and, as their special case, the celebrated Kalman filter. Non-linear extensions of the Kalman filter, the extended Kalman filter (EKF), the statistically linearized filter (SLF), and the
unscented Kalman filter (UKF) are presented in Chapter 5. Chapter 6 generalizes these filters into the framework of Gaussian filtering. The Gauss
Hermite Kalman filter (GHKF) and cubature Kalman filter (CKF) are then
derived from the general framework. Sequential Monte Carlo (SMC) based
particle filters (PF) are explained in Chapter 7 by starting from the basic
SIR filter and ending with RaoBlackwellized particle filters (RBPF).
Chapter 8 starts with a derivation of the general (fixed-interval)
Bayesian smoothing equations and then continues to a derivation of
the RauchTungStriebel (RTS) smoother as their special case. In that
chapter we also briefly discuss two-filter smoothing. The extended RTS
smoother (ERTSS), statistically linearized RTS smoother (SLRTSS),
and the unscented RTS smoother (URTSS) are presented in Chapter 9.
The general Gaussian smoothing framework is presented in Chapter 10,
and the GaussHermite RTS smoother (GHRTSS) and the cubature RTS
smoother (CRTSS) are derived as its special cases. We also discuss
Gaussian fixed-point and fixed-lag smoothing in the same chapter. In
Chapter 11 we start by showing how the basic SIR particle filter can be
used to approximate the smoothing solutions with a small modification.
We then introduce the numerically better backward-simulation particle
smoother and the reweighting (or marginal) particle smoother. Finally, we
discuss the implementation of RaoBlackwellized particle smoothers.
Chapter 12 is an introduction to parameter estimation in state space
models concentrating on optimization and expectationmaximization
(EM) based computation of maximum likelihood (ML) and maximum
a posteriori (MAP) estimates, as well as to Markov chain Monte Carlo
(MCMC) methods. We start by presenting the general methods and then
show how Kalman filters and RTS smoothers, non-linear Gaussian filters
and RTS smoothers, and finally particle filters and smoothers, can be
used to compute or approximate the quantities needed in implementation
of parameter estimation methods. This leads to, for example, classical
EM algorithms for state space models, as well as to particle EM and

Preface

particle MCMC methods. We also discuss how RaoBlackwellization can

sometimes be used to help parameter estimation.
Chapter 13 is an epilogue where we give some general advice on the
selection of different methods for different purposes. We also discuss and
give references to various technical points and related topics that are important, but did not fit into this book.
Each of the chapters ends with a range of exercises, which give the
reader hands-on experience in implementing the methods and in selecting
R
the appropriate method for a given purpose. The MATLAB
source code
needed in the exercises as well as various other material can be found on
the books web page at www.cambridge.org/sarkka.
This book is an outgrowth of lecture notes of courses that I gave during
the years 20092012 at Helsinki University of Technology, Aalto University, and Tampere University of Technology, Finland. Most of the text was
written while I was working at the Department of Biomedical Engineering
and Computational Science (BECS) of Aalto University (formerly Helsinki
University of Technology), but some of the text was written during my visit
to the Department of Engineering at the University of Cambridge, UK. I
am grateful to the former Centre of Excellence in Computational Complex
Systems Research of the Academy of Finland, BECS, and Aalto University
School of Science for providing me with the research funding which made
this book possible.
I would like to thank Jouko Lampinen and Aki Vehtari from BECS for
giving me the opportunity to do the research and for co-operation which led
to this book. Arno Solin, Robert Piche, Juha Sarmavuori, Thomas Schon,
Pete Bunch, and Isambi S. Mbalawata deserve thanks for careful checking
of the book and for giving a lot of useful suggestions for improving the text.
I am also grateful to Jouni Hartikainen, Ville Vaa nanen, Heikki Haario,
and Simon Godsill for research co-operation that led to improvement of
my understanding of the topic as well as to the development of some of the
methods which now are explained in this book. I would also like to thank
Diana Gillooly from Cambridge University Press and series editor Susan
Holmes for suggesting the publication of my lecture notes in book form.
Finally, I am grateful to my wife Susanne for her support and patience
during the writing of this book.

Simo Sarkka
Vantaa, Finland

Symbols and abbreviations

a; b; c; x; t; ;
a; f ; s; x; y; ;
A; F ; S; X; Y
A; F ; S ; X ; Y
A; F; S; X; Y

A
A 1
A T
Ai
Aij
jaj
jAj
dx=dt
@gi .x/
@xj

.a1 ; : : : ; an /
.a1 an /
.a1 an /T
@g.x/
@x
@g.x/
@x

Covx
diag.a1 ; : : : ; an /
p
P
Ex
Ex j y

General notation
Scalars
Vectors
Matrices
Sets
Spaces
Notational conventions
Transpose of matrix
Inverse of matrix
Inverse of transpose of matrix
ith column of matrix A
Element at ith row and j th column of matrix A
Absolute value of scalar a
Determinant of matrix A
Time derivative of x.t /
Partial derivative of gi with respect to xj
Column vector with elements a1 ; : : : ; an
Row vector with elements a1 ; : : : ; an
Column vector with elements a1 ; : : : ; an
Gradient (column vector) of scalar function g
Jacobian matrix of vector valued function x ! g.x/
Covariance Covx D E.x Ex/ .x Ex/T of
the random variable x
Diagonal matrix with diagonal values a1 ; : : : ; an
p p T
Matrix such that P D P P
Expectation of x
Conditional expectation of x given y
xiii

Symbols and abbreviations

xiv

f .x/ dx
p.x/
p.x j y/
p.x/ / q.x/
tr A
Varx
xy
xi;k
x p.x/
x,y
xy
x'y
x0Wk
P
x

Lebesgue integral of f .x/ over the space Rn

Probability density of continuous random variable x or
probability of discrete random variable x
Conditional probability density or conditional probability of x given y
p.x/ is proportional to q.x/, that is, there exists a constant c such that p.x/ D c q.x/ for all values of x
Trace of matrix A
Variance Varx D E.x Ex/2 of the scalar random
variable x
x is much greater than y
ith component of vector xk
Random variable x has the probability density or probability distribution p.x/
x is defined to be equal to y
x is approximately equal to y
x is assumed to be approximately equal to y
Set or sequence containing the vectors fx0 ; : : : ; xk g
Time derivative of x.t /

Symbols

i
N

./
x
t
tk
"k
"k

k
.n/
.i /

O MAP

Parameter of the unscented transform or pendulum angle

Acceptance probability in an MCMC method
Target acceptance rate in an adaptive MCMC
Parameter of the unscented transform
Dirac delta function
Difference of x from the mean x D x m
Sampling period
Length of the time interval tk D tkC1 tk
Measurement error at the time step k
Vector of measurement errors at the time step k
Vector of parameters
Vector of parameters at the time step k
Vector of parameters at iteration n of the EM-algorithm
Vector of parameters at iteration i of the MCMC-algorithm
Candidate point in the MCMC-algorithm
Maximum a posteriori (MAP) estimate of parameter
Parameter of the unscented transform

Symbols and abbreviations

0
00
k
L
M
Q
S
U
./
2
i2

i
'k ./
./

.i /

.i /
.i1 ;:::;in /
a
ao
a.t/
A

Ak
b
B
Bj jk
c
C./

Parameter of the unscented transform

Parameter of the unscented transform
Parameter of the unscented transform
Predicted mean of measurement yk in a Kalman/Gaussian
filter at the time step k
Mean in the linear approximation of a non-linear transform
Mean in the Gaussian moment matching approximation
Mean in the quadratic approximation
Mean in the statistical linearization approximation
Mean in the unscented approximation
Importance distribution
Variance
Variance of noise component i
Auxiliary matrix needed in the EM-algorithm
Proposal distribution covariance in the Metropolis algorithm
Energy function at the time step k
A function returning the lower triangular part of its argument
An auxiliary matrix needed in the EM-algorithm
Unit Gaussian random variable
ith scalar unit sigma point
Vector of unit Gaussian random variables
ith unit sigma point vector
Unit sigma point in the multivariate GaussHermite cubature
Action in decision theory, or a part of a mean vector
Optimal action
Acceleration
Dynamic model matrix in a linear time-invariant model, the
lower triangular Cholesky factor of a covariance matrix, the
upper left block of a covariance matrix, a coefficient in statistical linearization, or an arbitrary matrix
Dynamic model matrix (i.e., transition matrix) of the jump
from step k to step k C 1
The lower part of a mean vector, the offset term in statistical
linearization, or an arbitrary vector
Lower right block of a covariance matrix, an auxiliary matrix
needed in the EM-algorithm, or an arbitrary matrix
Gain matrix in a fixed-point or fixed-lag Gaussian smoother
Scalar constant
Cost or loss function

xvi

C
Ck
CL
CM
CQ
CS
CU
d
di
dt
dx
D
Dk
ei
f ./
Fx ./
F
.i /
Fxx
./
F
g
g./
gi ./
g./
g 1 ./
Q
g./
Gk
Gx ./
.i /
Gxx
./
Hp ./
H
Hk

Symbols and abbreviations

The upper right block of a covariance matrix, an auxiliary matrix needed in the EM-algorithm, or an arbitrary matrix
Cross-covariance matrix in a non-linear Kalman filter
Cross-covariance in the linear approximation of a non-linear
transform
Cross-covariance in the Gaussian moment matching approximation of a non-linear transform
Cross-covariance in the quadratic approximation
Cross-covariance in the statistical linearization approximation
Cross-covariance in the unscented approximation
Positive integer, usually dimensionality of the parameters
Order of a monomial
Differential of time variable t
Differential of vector x
Derivative of the Cholesky factor, an auxiliary matrix needed
in the EM-algorithm, or an arbitrary matrix
Cross-covariance matrix in a non-linear RTS smoother or an
auxiliary matrix used in derivations
Unit vector in the direction of the coordinate axis i
Dynamic transition function in a state space model
Jacobian matrix of the function x ! f .x/
Feedback matrix of a continuous-time linear state space model
Hessian matrix of x ! fi .x/
An auxiliary functional needed in the derivation of the EMalgorithm
Gravitation acceleration
An arbitrary function
An arbitrary function
An arbitrary function
Inverse function of g./
Augmented function with elements .x; g.//
Gain matrix in an RTS smoother
Jacobian matrix of the function x ! g.x/
Hessian matrix of x ! gi .x/
pth order Hermite polynomial
Measurement model matrix in a linear Gaussian model, or a
Hessian matrix
Measurement model matrix at the time step k in a linear Gaussian model

Symbols and abbreviations

Hx ./
H.ixx/ ./
h./
i
I
Ii .; .n/ /
J ./
k
Kk
L

L./
m
m
Q
m
mk
m.ik /
m.i0WT/
Qk
m
mk
mk .i /
Qk
m
msk
/
ms;.i
0WT

mkjn
n
n0
n00
N
N./

xvii

Jacobian matrix of the function x ! h.x/

Hessian matrix of x ! hi .x/
Measurement model function in a state space model
Integer valued index variable
Identity matrix
An integral term needed in the EM-algorithm
Jacobian matrix
Time step number
Gain matrix of a Kalman/Gaussian filter
Noise coefficient (i.e., dispersion) matrix of a continuoustime linear state space model
Likelihood function
Dimensionality of a measurement, mean of the univariate
Gaussian distribution, or the mass
Mean of a Gaussian distribution
Mean of an augmented random variable
Mean of a Kalman/Gaussian filter at the time step k
Mean of the Kalman filter in the particle i of RBPF at the
time step k
History of means of the Kalman filter in the particle i of
RBPF
Augmented mean at the time step k or an auxiliary variable used in derivations
Predicted mean of a Kalman/Gaussian filter at the time
step k just before the measurement yk
Predicted mean of the Kalman filter in the particle i of
RBPF at the time step k
Augmented predicted mean at the time step k
Mean computed by a Gaussian fixed-interval (RTS)
smoother for the time step k
History of means of the RTS smoother in the particle i of
RBPS
Conditional mean of xk given y1Wn
Positive integer, usually the dimensionality of the state
Augmented state dimensionality in a non-linear transform
Augmented state dimensionality in a non-linear transform
Positive integer, usually the number of Monte Carlo samples
Gaussian distribution (i.e., normal distribution)

xviii

p
P
P
PQ
Pk
Pk.i /
.i /
P0WT

PQ k
Pk
PQ k
Pk .i /
Pks
s;.i /
P0WT

Pkjn
qc
qic
q./
q .n/
q
qk
Q
Q.; .n/ /
Q
Qk
rk
rk
R
R

Symbols and abbreviations

Order of a Hermite polynomial
Variance of the univariate Gaussian distribution
Covariance of the Gaussian distribution
Covariance of an augmented random variable
Covariance of a Kalman/Gaussian filter at the time step k
Covariance of the Kalman filter in the particle i of RBPF
at the time step k
History of covariances of the Kalman filter in the particle
i of RBPF
Augmented covariance at the time step k or an auxiliary
variable used in derivations
Predicted covariance of a Kalman/Gaussian filter at the
time step k just before the measurement yk
Augmented predicted covariance at the time step k
Predicted covariance of the Kalman filter in the particle i
of RBPF at the time step k
Covariance computed by a Gaussian fixed-interval (RTS)
smoother for the time step k
History of covariances of the RTS smoother in the particle
i of RBPS
Conditional covariance of xk given y1Wn
Spectral density of a white noise process
Spectral density of component i of a white noise process
Proposal distribution in the MCMC algorithm, or an arbitrary distribution in the derivation of the EM-algorithm
Distribution approximation on the nth step of the EMalgorithm
Gaussian random vector
Gaussian process noise
Variance of scalar process noise
An auxiliary function needed in the EM-algorithm
Covariance of the process noise in a time-invariant model
Covariance of the process noise at the jump from step k to
kC1
Scalar Gaussian measurement noise
Vector of Gaussian measurement noises
Variance of scalar measurement noise
Covariance matrix of the measurement in a time-invariant
model

Symbols and abbreviations

Rk
R
Rn
Rnm
S
Sk
SL
SM
SQ
SS
SU
t
tk
T
Tk
u
uk
u.ik /
u.i0Wk/
U./
U./
vk.i /
vk
w .i /
wQ .i /
w .i /
wk.i /
.i /
wkjn
wi
wk
w.t/
W

xix

Covariance matrix of the measurement at the time step k

Space of real numbers
n-dimensional space of real numbers
Space of real n m matrices
Number of backward-simulation draws
Innovation covariance of a Kalman/Gaussian filter at step k
Covariance in the linear approximation of a non-linear transform
Covariance in the Gaussian moment matching approximation
of a non-linear transform
Covariance in the quadratic approximation of a non-linear
transform
Covariance in the statistical linearization approximation of a
non-linear transform
Covariance in the unscented approximation of a non-linear
transform
Time variable t 2 0; 1/
Time of the step k (usually time of the measurement yk )
Index of the last time step, the final time of a time interval
Sufficient statistics
Uniform random variable
Latent (non-linear) variable in a RaoBlackwellized particle filter or smoother
Latent variable value in particle i
History of latent variable values in particle i
Utility function
Uniform distribution
Unnormalized weight in an SIR particle filter based likelihood
evaluation
Innovation vector of a Kalman/Gaussian filter at step k
Normalized weight of the particle i in importance sampling
Weight of the particle i in importance sampling
Unnormalized weight of the particle i in importance sampling
Normalized weight of the particle i on step k of a particle filter
Normalized weight of a particle smoother
Weight i in a regression model
Vector of weights at the time step k in a regression model
Gaussian white noise process
Weight in the cubature or unscented approximation

Wi
Wi.m/
0
Wi.m/
Wi.c/
0
Wi.c/
Wi1 ;:::;in
x
x
x.i /
xk
Qk
x
x0Wk
x.i0Wk/
/
Q .j
x
0WT
X
Xk
X ./
XQ ./

Xk./
XQk./
XOk./
Xk ./
XQk ./
y
yk
y1Wk
Y ./
YQ ./
YO k./
Z
Zk
1

Symbols and abbreviations

ith weight in sigma-point approximation or in Gauss
Hermite quadrature
Mean weight of the unscented transform
Mean weight of the unscented transform
Covariance weight of the unscented transform
Covariance weight of the unscented transform
Weight in multivariate GaussHermite cubature
Scalar random variable or state, sometimes regressor variable, or a generic scalar variable
Random variable or state
ith Monte Carlo draw from the distribution of x
State at the time step k
Augmented state at the time step k
Set containing the state vectors fx0 ; : : : ; xk g
The history of the states in the particle i
State trajectory simulated by a backward-simulation particle
smoother
Matrix of regressors
Matrix of regressors up to the time step k
Sigma point of x
Augmented sigma point of x
Sigma point of the state xk
Augmented sigma point of the state xk
Predicted sigma point of the state xk
Sigma point of the predicted state xk
Augmented sigma point of the predicted state xk
Random variable or measurement
Measurement at the time step k
Set containing the measurement vectors fy1 ; : : : ; yk g
Sigma point of y
Augmented sigma point of y
ith predicted sigma point of the measurement yk at step k
Normalization constant
Normalization constant at the time step k
Infinity

Symbols and abbreviations

ADF
AM
AMCMC
AR
ARMA
ASIR
BS-PS
CDKF
CKF
CLT
CPF
CRLB
DLM
DOT
DSP
EC
EEG
EKF
EM
EP
ERTSS
FHKF
FHRTSS
fMRI
GHKF
GHPF
GHRTSS
GPB
GPS
HMC
HMM
IMM
INS
IS
InI
KF
LMS
LQG

Abbreviations
Assumed density filter
Adaptive Metropolis (algorithm)
Adaptive Markov chain Monte Carlo
Autoregressive (model)
Autoregressive moving average (model)
Auxiliary sequential importance resampling
Backward-simulation particle smoother
Central differences Kalman filter
Cubature Kalman filter
Central limit theorem
Cubature particle filter
CramerRao lower bound
Dynamic linear model
Diffuse optical tomography
Digital signal processing
Expectation correction
Electroencephalography
Extended Kalman filter
Expectationmaximization
Expectation propagation
Extended RauchTungStriebel smoother
FourierHermite Kalman filter
FourierHermite RauchTungStriebel smoother
Functional magnetic resonance imaging
GaussHermite Kalman filter
GaussHermite particle filter
GaussHermite RauchTungStriebel smoother
Generalized pseudo-Bayesian
Global positioning system
Hamiltonian (or hybrid) Monte Carlo
Hidden Markov model
Interacting multiple model (algorithm)
Inertial navigation system
Importance sampling
Inverse imaging
Kalman filter
Least mean squares
Linear quadratic Gaussian (regulator)

xxi

xxii

LS
MA
MAP
MC
MCMC
MEG
MH
MKF
ML
MLP
MMSE
MNE
MSE
PF
PMCMC
PMMH
PS
QKF
RAM
RBPF
RBPS
RMSE
RTS
RTSS
SDE
SIR
SIR-PS
SIS
SLDS
SLF
SLRTSS
SMC
TVAR
UKF
UPF
URTSS
UT

Symbols and abbreviations

Least squares
Moving average (model)
Maximum a posteriori
Monte Carlo
Markov chain Monte Carlo
Magnetoencephalography
MetropolisHastings
Mixture Kalman filter
Maximum likelihood
Multi-layer perceptron
Minimum mean squared error
Minimum norm estimate
Mean squared error
Particle filter
Particle Markov chain Monte Carlo
Particle marginal MetropolisHastings
Particle smoother
Quadrature Kalman filter
Robust adaptive Metropolis (algorithm)
RaoBlackwellized particle filter
RaoBlackwellized particle smoother
Root mean squared error
RauchTungStriebel
RauchTungStriebel smoother
Stochastic differential equation
Sequential importance resampling
Sequential importance resampling particle smoother
Sequential importance sampling
Switching linear dynamic system
Statistically linearized filter
Statistically linearized RauchTungStriebel smoother
Sequential Monte Carlo
Time-varying autoregressive (model)
Unscented Kalman filter
Unscented particle filter
Unscented RauchTungStriebel smoother
Unscented transform

1
What are Bayesian filtering and smoothing?

The term optimal filtering traditionally refers to a class of methods that

can be used for estimating the state of a time-varying system which is indirectly observed through noisy measurements. The term optimal in this context refers to statistical optimality. Bayesian filtering refers to the Bayesian
way of formulating optimal filtering. In this book we use these terms interchangeably and always mean Bayesian filtering.
In optimal, Bayesian, and Bayesian optimal filtering the state of the system refers to the collection of dynamic variables such as position, velocity, orientation, and angular velocity, which fully describe the system. The
noise in the measurements means that they are uncertain; even if we knew
the true system state the measurements would not be deterministic functions of the state, but would have a distribution of possible values. The time
evolution of the state is modeled as a dynamic system which is perturbed
by a certain process noise. This noise is used for modeling the uncertainties
in the system dynamics. In most cases the system is not truly stochastic, but
stochasticity is used for representing the model uncertainties.
Bayesian smoothing (or optimal smoothing) is often considered to be
a class of methods within the field of Bayesian filtering. While Bayesian
filters in their basic form only compute estimates of the current state of
the system given the history of measurements, Bayesian smoothers can be
used to reconstruct states that happened before the current time. Although
the term smoothing is sometimes used in a more general sense for methods
which generate a smooth (as opposed to rough) representation of data, in
the context of Bayesian filtering the term (Bayesian) smoothing has this
more definite meaning.

1.1 Applications of Bayesian filtering and smoothing

Phenomena which can be modeled as time-varying systems of the above
type are very common in engineering applications. This kind of model
1

What are Bayesian filtering and smoothing?

can be found, for example, in navigation, aerospace engineering, space engineering, remote surveillance, telecommunications, physics, audio signal
processing, control engineering, finance, and many other fields. Examples
of such applications are the following.
Global positioning system (GPS) (Kaplan, 1996) is a widely used satellite navigation system, where the GPS receiver unit measures arrival
times of signals from several GPS satellites and computes its position
based on these measurements (see Figure 1.1). The GPS receiver typically uses an extended Kalman filter (EKF) or some other optimal filtering algorithm1 for computing the current position and velocity such that
the measurements and the assumed dynamics (laws of physics) are taken
into account. Also the ephemeris information, which is the satellite reference information transmitted from the satellites to the GPS receivers,
is typically generated using optimal filters.

Figure 1.1 In the GPS system, the measurements are time delays
of satellite signals and the optimal filter (e.g., extended Kalman
filter, EKF) computes the position and the accurate time.

Target tracking (Bar-Shalom et al., 2001; Crassidis and Junkins, 2004;

Challa et al., 2011) refers to the methodology where a set of sensors
such as active or passive radars, radio frequency sensors, acoustic arrays,
1

Strictly speaking, the EKF is only an approximate optimal filtering algorithm, because it
uses a Taylor series based Gaussian approximation to the non-Gaussian optimal filtering
solution.

1.1 Applications of Bayesian filtering and smoothing

infrared sensors, and other types of sensors are used for determining
the position and velocity of a remote target (see Figure 1.2). When this
tracking is done continuously in time, the dynamics of the target and
measurements from the different sensors are most naturally combined
using an optimal filter or smoother. The target in this (single) target
tracking case can be, for example, a robot, a satellite, a car or an airplane.

Figure 1.2 In target tracking, a sensor (e.g., radar) generates

measurements (e.g., angle and distance measurements) of the
target, and the purpose is to determine the target trajectory.

Multiple target tracking (Bar-Shalom and Li, 1995; Blackman and

Popoli, 1999; Stone et al., 1999; Sarkka et al., 2007b) systems are used
for remote surveillance in the cases where there are multiple targets
moving at the same time in the same geographical area (see Figure 1.3).
This introduces the concept of data association (which measurement
was from which target?) and the problem of estimating the number of
targets. Multiple target tracking systems are typically used in remote
surveillance for military purposes, but their civil applications are, for
example, monitoring of car tunnels, automatic alarm systems, and
people tracking in buildings.
Inertial navigation (Titterton and Weston, 1997; Grewal et al., 2001)
uses inertial sensors such as accelerometers and gyroscopes for computing the position and velocity of a device such as a car, an airplane, or
a missile. When the inaccuracies in sensor measurements are taken into

What are Bayesian filtering and smoothing?

Figure 1.3 In multiple target tracking the data association

problem has to be solved, because it is impossible to know
without any additional information which target produced which
measurement.

account the natural way of computing the estimates is by using an optimal filter or smoother. Also, in sensor calibration, which is typically
done in a time-varying environment, optimal filters and smoothers can
be applied.
Integrated inertial navigation (Grewal et al., 2001; Bar-Shalom et al.,
2001) combines the good sides of unbiased but inaccurate sensors, such
as altimeters and landmark trackers, and biased but locally accurate inertial sensors. A combination of these different sources of information
is most naturally performed using an optimal filter such as the extended
Kalman filter. This kind of approach was used, for example, in the guidance system of the Apollo 11 lunar module (Eagle), which landed on the
moon in 1969.
GPS/INS navigation (Grewal et al., 2001; Bar-Shalom et al., 2001) is a
form of integrated inertial navigation where the inertial navigation system (INS) is combined with a GPS receiver unit. In a GPS/INS navigation system the short term fluctuations of the GPS can be compensated
by the inertial sensors and the inertial sensor biases can be compensated
by the GPS receiver. An additional advantage of this approach is that
it is possible to temporarily switch to pure inertial navigation when the
GPS receiver is unable to compute its position (i.e., has no fix) for some
reason. This happens, for example, indoors, in tunnels and in other cases

1.1 Applications of Bayesian filtering and smoothing

when there is no direct line-of-sight between the GPS receiver and the
satellites.
Brain imaging methods such as electroencephalography (EEG), magnetoencephalography (MEG), parallel functional magnetic resonance
imaging (fMRI) and diffuse optical tomography (DOT) (see Figure 1.4)
are based on reconstruction of the source field in the brain from noisy
sensor data by using minimum norm estimates (MNE) and its variants
(Hauk, 2004; Tarantola, 2004; Kaipio and Somersalo, 2005; Lin et al.,
2006). The minimum norm solution can also be interpreted in the
Bayesian sense as a problem of estimating the field with certain prior
structure from Gaussian observations. With that interpretation the
estimation problem becomes equivalent to a statistical inversion or
generalized Gaussian process regression problem (Tarantola, 2004;
Kaipio and Somersalo, 2005; Rasmussen and Williams, 2006; Sarkka,
2011). Including dynamical priors then leads to a linear or non-linear
spatio-temporal estimation problem, which can be solved with Kalman
filters and smoothers (see Hiltunen et al., 2011; Sarkka et al., 2012b).
The same can be done in inversion based approaches to parallel fMRI
such as inverse imaging (InI, Lin et al., 2006).

Figure 1.4 Brain imaging methods such as EEG and MEG are
based on estimating the state of the brain from sensor readings. In
dynamic case the related inversion problem can be solved with an
optimal filter or smoother.

What are Bayesian filtering and smoothing?

Spread of infectious diseases (Keeling and Rohani, 2007) can often

be modeled as differential equations for the number of susceptible,
infected, and recovered/dead individuals. When uncertainties are
introduced into the dynamic equations, and when the measurements are
not perfect, the estimation of the spread of the disease can be formulated
as an optimal filtering problem (see, e.g., Sarkka and Sottinen, 2008).
Biological processes (Murray, 1993) such as population growth,
predatorprey models, and several other dynamic processes in biology
can also be modeled as (stochastic) differential equations. Estimation
of the states of these processes from inaccurate measurements can be
formulated as an optimal filtering and smoothing problem.
Telecommunications is also a field where optimal filters are traditionally used. For example, optimal receivers, signal detectors, and phase
locked loops can be interpreted to contain optimal filters (Van Trees,
1968, 1971; Proakis, 2001) as components. Also the celebrated Viterbi
algorithm (Viterbi, 1967) can be seen as a method for computing the
maximum a posteriori (MAP) Bayesian smoothing solution for the underlying hidden Markov model (HMM).
Audio signal processing applications such as audio restoration (Godsill
and Rayner, 1998) and audio signal enhancement (Fong et al., 2002)
often use TVAR (time-varying autoregressive) models as the underlying
audio signal models. These kinds of model can be efficiently estimated
using optimal filters and smoothers.
Stochastic optimal control (Maybeck, 1982a; Stengel, 1994) considers
control of time-varying stochastic systems. Stochastic controllers can
typically be found in, for example, airplanes, cars, and rockets. Optimal,
in addition to the statistical optimality, means that the control signal is
constructed to minimize a performance cost, such as the expected time
to reach a predefined state, the amount of fuel consumed, or the average
distance from a desired position trajectory. When the state of the system
is observed through a set of sensors, as it usually is, optimal filters are
needed for reconstructing the state from them.
Learning systems or adaptive systems can often be mathematically formulated in terms of optimal filters and smoothers (Haykin, 2001) and
they have a close relationship with Bayesian non-parametric modeling,
machine learning, and neural network modeling (Bishop, 2006). Methods similar to the data association methods in multiple target tracking are
also applicable to on-line adaptive classification (Andrieu et al., 2002).
The connection between Gaussian process regression (Rasmussen and
Williams, 2006) and optimal filtering has also been recently discussed

1.2 Origins of Bayesian filtering and smoothing

in Sarkka et al. (2007a), Hartikainen and Sarkka (2010) and Sarkka and
Hartikainen (2012).
Physical systems which are time-varying and measured through nonideal sensors can sometimes be formulated as stochastic state space
models, and the time evolution of the system can be estimated using
optimal filters (Kaipio and Somersalo, 2005). These kinds of problem
are often called inverse problems (Tarantola, 2004), and optimal filters
and smoothers can be seen as the Bayesian solutions to time-varying
inverse problems.

1.2 Origins of Bayesian filtering and smoothing

The roots of Bayesian analysis of time-dependent behavior are in the field
of optimal linear filtering. The idea of constructing mathematically optimal recursive estimators was first presented for linear systems due to their
mathematical simplicity, and the most natural optimality criterion in both
the mathematical and modeling points of view was the least squares optimality. For linear systems the optimal Bayesian solution (with minimum
mean squared error, MMSE, loss) coincides with the least squares solution,
that is, the optimal least squares solution is exactly the posterior mean.
The history of optimal filtering starts from the Wiener filter (Wiener,
1950), which is a frequency domain solution to the problem of least squares
optimal filtering of stationary Gaussian signals. The Wiener filter is still
important in communication applications (Proakis, 2001), digital signal
processing (Hayes, 1996) and image processing (Gonzalez and Woods,
2008). The disadvantage of the Wiener filter is that it can only be applied
to stationary signals.
The success of optimal linear filtering in engineering applications is
mostly due to the seminal article of Kalman (1960b), which describes the
recursive solution to the optimal discrete-time (sampled) linear filtering
problem. One reason for the success is that the Kalman filter can be understood and applied with very much lighter mathematical machinery than
the Wiener filter. Also, despite its mathematical simplicity and generality,
the Kalman filter (or actually the KalmanBucy filter; Kalman and Bucy,
1961) contains the Wiener filter as its limiting special case.
In the early stages of its history, the Kalman filter was soon discovered
to belong to the class of Bayesian filters (Ho and Lee, 1964; Lee, 1964;
Jazwinski, 1966, 1970). The corresponding Bayesian smoothers (Rauch,
1963; Rauch et al., 1965; Leondes et al., 1970) were also developed soon
after the invention of the Kalman filter. An interesting historical detail is

What are Bayesian filtering and smoothing?

hidden:

/ xk

observed:

/ xk

/ xkC1

ykC1

Figure 1.5 In optimal filtering and smoothing problems a

sequence of hidden states xk is indirectly observed through noisy
measurements yk :

that while Kalman and Bucy were formulating the linear theory in the
United States, Stratonovich was doing the pioneering work on the probabilistic (Bayesian) approach in Russia (Stratonovich, 1968; Jazwinski,
1970).
As discussed in the book of West and Harrison (1997), in the 1960s,
Kalman filter like recursive estimators were also used in the Bayesian community and it is not clear whether the theory of Kalman filtering or the
theory of dynamic linear models (DLM) came first. Although these theories were originally derived from slightly different starting points, they are
equivalent. Because of the Kalman filters useful connection to the theory and history of stochastic optimal control, this book approaches the
Bayesian filtering problem from the Kalman filtering point of view.
Although the original derivation of the Kalman filter was based on the
least squares approach, the same equations can be derived from pure probabilistic Bayesian analysis. The Bayesian analysis of Kalman filtering is
well covered in the classical book of Jazwinski (1970) and more recently in
the book of Bar-Shalom et al. (2001). Kalman filtering, mostly because of
its least squares interpretation, has widely been used in stochastic optimal
control. A practical reason for this is that the inventor of the Kalman filter,
Rudolph E. Kalman, has also made several contributions (Kalman, 1960a)
to the theory of linear quadratic Gaussian (LQG) regulators, which are
fundamental tools of stochastic optimal control (Stengel, 1994; Maybeck,
1982a).

1.3 Optimal filtering and smoothing as Bayesian inference

In mathematical terms, optimal filtering and smoothing are considered to
be statistical inversion problems, where the unknown quantity is a vector valued time series fx0 ; x1 ; x2 ; : : :g which is observed through a set of

1.3 Optimal filtering and smoothing as Bayesian inference

0.25

Resonator position xk

0.2
0.15
0.1
0.05
0
0.05
0.1
0.15
0.2

Signal
Measurement

0.25
0

Time step k

Figure 1.6 An example of time series, which models a

discrete-time resonator. The actual resonator state (signal) is
hidden and only observed through the noisy measurements.

noisy measurements fy1 ; y2 ; : : :g as illustrated in Figure 1.5. An example

of this kind of time series is shown in Figure 1.6. The process shown is a
noisy resonator with a known angular velocity. The state xk D .xk xP k /T
is two dimensional and consists of the position of the resonator xk and
its time derivative xP k . The measurements yk are scalar observations of the
resonator position (signal) and they are corrupted by measurement noise.
The purpose of the statistical inversion at hand is to estimate the hidden states x0WT D fx0 ; : : : ; xT g from the observed measurements y1WT D
fy1 ; : : : ; yT g, which means that in the Bayesian sense we want to compute
the joint posterior distribution of all the states given all the measurements.
In principle, this can be done by a straightforward application of Bayes
rule
p.y1WT j x0WT / p.x0WT /
;
(1.1)
p.x0WT j y1WT / D
p.y1WT /
where
p.x0WT /; is the prior distribution defined by the dynamic model,
p.y1WT j x0WT / is the likelihood model for the measurements,

What are Bayesian filtering and smoothing?

p.y1WT / is the normalization constant defined as

Z
p.y1WT / D p.y1WT j x0WT / p.x0WT / dx0WT :

(1.2)

Unfortunately, this full posterior formulation has the serious disadvantage

that each time we obtain a new measurement, the full posterior distribution
would have to be recomputed. This is particularly a problem in dynamic
estimation (which is exactly the problem we are solving here!), where measurements are typically obtained one at a time and we would want to compute the best possible estimate after each measurement. When the number
of time steps increases, the dimensionality of the full posterior distribution also increases, which means that the computational complexity of a
single time step increases. Thus eventually the computations will become
intractable, no matter how much computational power is available. Without additional information or restrictive approximations, there is no way of
getting over this problem in the full posterior computation.
However, the above problem only arises when we want to compute the
full posterior distribution of the states at each time step. If we are willing to
relax this a bit and be satisfied with selected marginal distributions of the
states, the computations become an order of magnitude lighter. To achieve
this, we also need to restrict the class of dynamic models to probabilistic Markov sequences, which is not as restrictive as it may at first seem.
The model for the states and measurements will be assumed to be of the
following type.
An initial distribution specifies the prior probability distribution p.x0 /
of the hidden state x0 at the initial time step k D 0.
A dynamic model describes the system dynamics and its uncertainties
as a Markov sequence, defined in terms of the transition probability distribution p.xk j xk 1 /.
A measurement model describes how the measurement yk depends
on the current state xk . This dependence is modeled by specifying the
conditional probability distribution of the measurement given the state,
which is denoted as p.yk j xk /.
Thus a general probabilistic state space model is usually written in the
following form:
x0 p.x0 /;
xk p.xk j xk

1 /;

yk p.yk j xk /:

(1.3)

1.3 Optimal filtering and smoothing as Bayesian inference

Because computing the full joint distribution of the states at all time steps is
computationally very inefficient and unnecessary in real-time applications,
in Bayesian filtering and smoothing the following marginal distributions
are considered instead (see Figure 1.7).
Filtering distributions computed by the Bayesian filter are the marginal
distributions of the current state xk given the current and previous measurements y1Wk D fy1 ; : : : ; yk g:
p.xk j y1Wk /;

k D 1; : : : ; T:

(1.4)

The result of applying the Bayesian filter to the resonator time series in
Figure 1.6 is shown in Figure 1.8.
Prediction distributions which can be computed with the prediction step
of the Bayesian filter are the marginal distributions of the future state
xkCn , n steps after the current time step:
p.xkCn j y1Wk /;

k D 1; : : : ; T;

n D 1; 2; : : : :

(1.5)

Smoothing distributions computed by the Bayesian smoother are the

marginal distributions of the state xk given a certain interval y1WT D
fy1 ; : : : ; yT g of measurements with T > k:
p.xk j y1WT /;

k D 1; : : : ; T:

(1.6)

The result of applying the Bayesian smoother to the resonator time series
is shown in Figure 1.9.

Figure 1.7 State estimation problems can be divided into optimal

prediction, filtering, and smoothing depending on the time span of
the measurements available with respect to the time of the
estimated state.

What are Bayesian filtering and smoothing?

0.25

Resonator position xk

0.2
0.15
0.1
0.05
0
0.05
0.1
Signal
Measurement
Filter Estimate
95% Quantile

0.15
0.2
0.25
0

Time step k

Figure 1.8 The result of computing the filtering distributions for

the discrete-time resonator model. The estimates are the means of
the filtering distributions and the quantiles are the 95% quantiles
of the filtering distributions.

Computing filtering, prediction, and smoothing distributions require only

a constant number of computations per time step, and thus the problem of
processing arbitrarily long time series is solved.

1.4 Algorithms for Bayesian filtering and smoothing

There exist a few classes of filtering and smoothing problems which have
closed form solutions.
The Kalman filter (KF) is a closed form solution to the linear Gaussian
filtering problem. Due to linear Gaussian model assumptions the posterior distribution is exactly Gaussian and no numerical approximations
are needed.
The RauchTungStriebel smoother (RTSS) is the corresponding closed
form smoother for linear Gaussian state space models.
Grid filters and smoothers are solutions to Markov models with finite
state spaces.

1.4 Algorithms for Bayesian filtering and smoothing

0.25

Resonator position xk

0.2
0.15
0.1
0.05
0
0.05
0.1
Signal
Measurement
Smoother Estimate
95% Quantile

0.15
0.2
0.25
0

Time step k

Figure 1.9 The result of computing the smoothing distributions

for the discrete-time resonator model. The estimates are the
means of the smoothing distributions and the quantiles are the
95% quantiles of the smoothing distributions.

But because the Bayesian optimal filtering and smoothing equations are
generally computationally intractable, many kinds of numerical approximation methods have been developed, for example:
The extended Kalman filter (EKF) approximates the non-linear and nonGaussian measurement and dynamic models by linearization, that is,
by forming a Taylor series expansion at the nominal (or maximum a
posteriori, MAP) solution. This results in a Gaussian approximation to
the filtering distribution.
The extended RauchTungStriebel smoother (ERTSS) is the approximate non-linear smoothing algorithm corresponding to EKF.
The unscented Kalman filter (UKF) approximates the propagation
of densities through the non-linearities of measurement and noise
processes using the unscented transform. This also results in a Gaussian
approximation.
The unscented RauchTungStriebel smoother (URTSS) is the approximate non-linear smoothing algorithm corresponding to UKF.
Sequential Monte Carlo methods or particle filters and smoothers represent the posterior distribution as a weighted set of Monte Carlo samples.

What are Bayesian filtering and smoothing?

The unscented particle filter (UPF) and local linearization based particle
filtering methods use UKFs and EKFs, respectively, for approximating
the optimal importance distributions in particle filters.
RaoBlackwellized particle filters and smoothers use closed form integration (e.g., Kalman filters and RTS smoothers) for some of the state
variables and Monte Carlo integration for others.
Grid based approximation methods approximate the filtering and
smoothing distributions as discrete distributions on a finite grid.
Other methods also exist, for example, based on Gaussian mixtures, series expansions, describing functions, basis function expansions, exponential family of distributions, variational Bayesian methods, and batch
Monte Carlo (e.g., Markov chain Monte Carlo, MCMC, methods).

1.5 Parameter estimation

In state space models of dynamic systems, there are often unknown or uncertain parameters which should be estimated along with the state itself.
For example, in a stochastic resonator model, the frequency of the resonator
might be unknown. Also the noise variances might be only known approximately or they can be completely unknown. Although, formally, we can
always augment unknown parameters as part of the state, in practice it is
often useful to consider parameter estimation separately.
In a Bayesian setting, the proper way to estimate the parameters is by
setting a prior distribution on the parameters p./ and treating them as
additional random variables in the model. When unknown parameters are
present, the state space model in Equation (1.3) becomes
p./;
x0 p.x0 j /;
xk p.xk j xk

1 ; /;

yk p.yk j xk ; /:

(1.7)

The full Bayesian solution to this problem would require the computation
of the full joint posterior distribution of states and parameters p.x0WT ; j
y1WT /. Unfortunately, computing this joint posterior of the states and parameters is even harder than computation of the joint distribution of states
alone, and thus this task is intractable.
Fortunately, when run with fixed parameters , the Bayesian filter algorithm produces the sequence of distributions p.yk j y1Wk 1 ; / for k D
1; : : : ; T as side products. Once we have these, we can form the marginal

1.6 Exercises

posterior distribution of parameters as follows:

p. j y1WT / / p./

T
Y

p.yk j y1Wk

1 ; /;

(1.8)

kD1

where we have denoted p.y1 j y1W0 ; / , p.y1 j / for notational convenience. When combined with the smoothing distributions, we can form all
the marginal joint distributions of states and parameters as follows:
p.xk ; j y1WT / D p.xk j y1WT ; / p. j y1WT /;

(1.9)

for k D 1; : : : ; T , where p.xk j y1WT ; / is the smoothing distribution of

the states with fixed model parameters . However, we cannot compute the
full joint posterior distribution of states and parameters, which is the price
of only using a constant number of computations per time step.
Although here we use the term parameter estimation, it might sometimes be the case that we are not actually interested in the values of the parameters as such, but we just do not know the values of them. In that case
the proper Bayesian approach is to integrate out the parameters. For example, to compute the smoothing distributions in the presence of unknown
parameters we can integrate out the parameters from the joint distribution
in Equation (1.9):
Z
p.xk j y1WT / D p.xk ; j y1WT / d
Z
D p.xk j y1WT ; / p. j y1WT / d:
(1.10)
Many of the Bayesian methods for parameter estimation indeed allow this
to be done (approximately). For example, by using the parameter samples
produced by a Markov chain Monte Carlo (MCMC) method, it is possible
to form a Monte Carlo approximation to the above integral.

1.6 Exercises
1.1

1.2

Find the seminal article of Kalman (1960b) from the Internet (or, e.g., from
a library) and investigate the orthogonal projections approach that is taken
in the article. How would you generalize the approach to the non-linear/nonGaussian case? Is it possible?
An alternative to Bayesian estimation would be to formulate the state estimation problem as maximum likelihood (ML) estimation. This would amount

What are Bayesian filtering and smoothing?

to estimating the state sequence as the ML-estimate
O 0WT D arg max p.y1WT j x0WT /:
x
x0WT

1.3

(1.11)

Do you see any problem with this approach? Hint: where is the dynamic
model?
Assume that in an electronics shop the salesperson decides to give you a
chance to win a brand new GPS receiver. He lets you choose one of three
packages of which one contains the GPS receiver and two others are empty.
After you have chosen the package, the salesperson opens one of the packages that you have not chosen and that package turns out to be empty.
He gives you a chance to switch to the other yet unopened package. Is it
advantageous for you to do that?

2
Bayesian inference

This chapter provides a brief presentation of the philosophical and mathematical foundations of Bayesian inference. The connections to classical
statistical inference are also briefly discussed.

2.1 Philosophy of Bayesian inference

The purpose of Bayesian inference (Bernardo and Smith, 1994; Gelman
et al., 2004) is to provide a mathematical machinery that can be used for
modeling systems, where the uncertainties of the system are taken into
account and the decisions are made according to rational principles. The
tools of this machinery are the probability distributions and the rules of
probability calculus.
If we compare the so-called frequentist philosophy of statistical analysis
to Bayesian inference the difference is that in Bayesian inference the probability of an event does not mean the proportion of the event in an infinite
number of trials, but the uncertainty of the event in a single trial. Because
models in Bayesian inference are formulated in terms of probability distributions, the probability axioms and computation rules of the probability
theory (see, e.g., Shiryaev, 1996) also apply in Bayesian inference.

2.2 Connection to maximum likelihood estimation

Consider a situation where we know the conditional distribution p.yk j /
of conditionally independent random variables (measurements) y1WT D
fy1 ; : : : ; yT g, but the parameter 2 Rd is unknown. The classical statistical method for estimating the parameter is the maximum likelihood method
(Milton and Arnold, 1995), where we maximize the joint probability of the

Bayesian inference

measurements, also called the likelihood function

L./ D

T
Y

p.yk j /:

(2.1)

kD1

The maximum of the likelihood function with respect to gives the maximum likelihood estimate (ML-estimate)
O D arg max L./:

(2.2)

The difference between the Bayesian inference and the maximum likelihood method is that the starting point of Bayesian inference is to formally
consider the parameter as a random variable. Then the posterior distribution of the parameter can be computed by using Bayes rule
p. j y1WT / D

p.y1WT j / p./
;
p.y1WT /

(2.3)

where p./ is the prior distribution which models the prior beliefs on the
parameter before we have seen any data, and p.y1WT / is a normalization
term which is independent of the parameter . This normalization constant
is often left out and if the measurements y1WT are conditionally independent
given , the posterior distribution of the parameter can be written as
p. j y1WT / / p./

T
Y

p.yk j /:

(2.4)

kD1

Because we are dealing with a distribution, we might now choose the most
probable value of the random variable, the maximum a posteriori (MAP)
estimate, which is given by the maximum of the posterior distribution.
The optimal estimate in the mean squared sense is the posterior mean of
the parameter (MMSE-estimate). There are an infinite number of other
ways of choosing the point estimate from the distribution and the best way
depends on the assumed loss or cost function (or utility function). The MLestimate can be seen as a MAP-estimate with uniform prior p./ / 1 on
the parameter .
We can also interpret Bayesian inference as a convenient method for
including regularization terms into maximum likelihood estimation. The
basic ML-framework does not have a self-consistent method for including
regularization terms or prior information into statistical models. However,
this regularization interpretation of Bayesian inference is quite limited,
because Bayesian inference is much more than this.

2.3 The building blocks of Bayesian models

The basic blocks of a Bayesian model are the prior model containing the
preliminary information on the parameter and the measurement model determining the stochastic mapping from the parameter to the measurements.
Using combination rules, namely Bayes rule, it is possible to infer an estimate of the parameters from the measurements. The probability distribution of the parameters, conditional on the observed measurements, is called
the posterior distribution and it is the distribution representing the state of
knowledge about the parameters when all the information in the observed
measurements and the model is used. The predictive posterior distribution
is the distribution of new (not yet observed) measurements when all the
information in the observed measurements and the model is used.
Prior model
The prior information consists of subjective experience based beliefs
about the possible and impossible parameter values and their relative
likelihoods before anything has been observed. The prior distribution is
a mathematical representation of this information:
p./ D information on parameter before seeing any observations.
(2.5)
The lack of prior information can be expressed by using a noninformative prior. The non-informative prior distribution can be selected
in various different ways (Gelman et al., 2004).
Measurement model
Between the true parameters and the measurements there is often
a causal, but inaccurate or noisy relationship. This relationship is
mathematically modeled using the measurement model:
p.y j / D distribution of observation y given the parameters .
(2.6)
Posterior distribution
The posterior distribution is the conditional distribution of the parameters given the observations. It represents the information we have after the measurement y has been obtained. It can be computed by using
Bayes rule
p. j y/ D

p.y j / p./
/ p.y j / p./;
p.y/

(2.7)

Bayesian inference

where the normalization constant is given as

Z
p.y/ D p.y j / p./ d:

(2.8)

In the case of multiple measurements y1WT , if the measurements are conditionally independent, the joint likelihood of all measurements is the
product of distributions of individual measurements and the posterior
distribution is
p. j y1WT / / p./

T
Y

p.yk j /;

(2.9)

kD1

where the normalization term can be computed by integrating the righthand side over . If the random variable is discrete the integration is
replaced by summation.
Predictive posterior distribution
The predictive posterior distribution is the distribution of new measurements yT C1 given the observed measurements
Z
p.yT C1 j y1WT / D p.yT C1 j / p. j y1WT / d:
(2.10)
Thus, after obtaining the measurements y1WT the predictive posterior distribution can be used for computing the probability distribution for measurement index T C 1 which has not yet been observed.
In the case of tracking, we could imagine that the parameter is the sequence
of dynamic states of a target, where the state contains the position and velocity. The measurements could be, for example, noisy distance and direction measurements produced by a radar. In this book we will divide the
parameters into two classes: the dynamic state of the system and the static
parameters of the model. But from the Bayesian estimation point of view
both the states and static parameters are unknown (random) parameters of
the system.

2.4 Bayesian point estimates

Distributions alone have no use in many practical applications; we need
finite-dimensional summaries (point estimates). This selection of a point
based on observed values of random variables is a statistical decision, and
therefore this selection procedure is most naturally formulated in terms of
statistical decision theory (Berger, 1985; Bernardo and Smith, 1994; Raiffa
and Schlaifer, 2000).

2.4 Bayesian point estimates

Definition 2.1 (Loss function) A loss function or cost function C.; a/ is

a scalar valued function which determines the loss of taking the action a
when the true parameter value is . The action (or control) is the statistical
decision to be made based on the currently available information.
Instead of loss functions it is also possible to work with utility functions
U.; a/, which determine the reward from taking the action a with parameter values . Loss functions can be converted to utility functions and vice
versa by defining U.; a/ D C.; a/.
If the value of the parameter is not known, but the knowledge of the parameter can be expressed in terms of the posterior distribution p. j y1WT /,
then the natural choice is the action which gives the minimum (maximum)
of the expected loss (utility) (Berger, 1985)
Z
EC.; a/ j y1WT D C.; a/ p. j y1WT / d:
(2.11)
Commonly used loss functions are the following.
Quadratic error loss. If the loss function is quadratic
a/T .

C.; a/ D .

a/;

(2.12)

then the optimal choice ao is the mean of the posterior distribution of

Z
ao D p. j y1WT / d:
(2.13)
This posterior mean based estimate is often called the minimum mean
squared error (MMSE) estimate of the parameter . The quadratic loss
is the most commonly used loss function, because it is easy to handle
mathematically and because in the case of Gaussian posterior distribution the MAP estimate and the median coincide with the posterior mean.
Absolute error loss. The loss function of the form
X
C.; a/ D
ji ai j
(2.14)
i

is called an absolute error loss and in this case the optimal choice is the
median of the distribution (the medians of the marginal distributions in
the multi-dimensional case).
01 loss. If the loss function is of the form
C.; a/ D

(2.15)

where ./ is the Diracs delta function, then the optimal choice is the
maximum (mode) of the posterior distribution, that is, the maximum a

Bayesian inference

posterior (MAP) estimate of the parameter. If the random variable is

discrete the corresponding loss function can be defined as
(
0; if D a;
C.; a/ D
(2.16)
1; if a:

2.5 Numerical methods

In principle, Bayesian inference provides the equations for computing
the posterior distributions and point estimates for any model once the
model specification has been set up. However, the practical difficulty is
that computation of the integrals involved in the equations can rarely
be performed analytically and numerical methods are needed. Here we
briefly describe numerical methods which are also applicable in higherdimensional problems: Gaussian approximations, multi-dimensional
quadratures, Monte Carlo methods, and importance sampling.
Gaussian approximations (Gelman et al., 2004) are very common, and
in them the posterior distribution is approximated with a Gaussian distribution (see Section A.1)
p. j y1WT / ' N. j m; P /:

(2.17)

The mean m and covariance P of the Gaussian approximation can be

computed either by matching the first two moments of the posterior distribution, or by using the mode of the distribution as the approximation
of m and by approximating P using the curvature of the posterior at the
mode. Note that above we have introduced the notation ' which here
means that the left-hand side is assumed to be approximately equal to
the right-hand side, even though we know that it will not be true in most
practical situations nor can we control the approximation error in any
practical way.
Multi-dimensional quadrature or cubature integration methods such as
GaussHermite quadrature can also be used if the dimensionality of the
integral is moderate. The idea is to deterministically form a representative set of sample points f .i / W i D 1; : : : ; N g (sometimes called sigma
points) and form the approximation of the integral as the weighted average
Eg./ j y1WT

N
X
iD1

Wi g. .i / /;

(2.18)

2.5 Numerical methods

where the numerical values of the weights Wi are determined by the

algorithm. The sample points and weights can be selected, for example,
to give exact answers for polynomials up to certain degree or to account
for the moments up to certain degree. Above we have used the notation
to mean that the expressions are approximately equal in some suitable
limit (here N ! 1) or in some verifiable conditions.
In direct Monte Carlo methods a set of N samples from the posterior
distribution is randomly drawn
.i / p. j y1WT /;

i D 1; : : : ; N;

(2.19)

and expectation of any function g./ can be then approximated as the

sample average
1 X
Eg./ j y1WT
g. .i / /:
(2.20)
N i
Another interpretation of this is that Monte Carlo methods form an approximation of the posterior density of the form
N
1 X
p. j y1WT /
.
N i D1

.i / /;

(2.21)

where ./ is the Dirac delta function. The convergence of Monte Carlo
approximation is guaranteed by the central limit theorem (CLT) (see,
e.g., Liu, 2001) and the error term is, at least in theory, under certain
ideal conditions, independent of the dimensionality of . The rule of
thumb is that the error should decrease like the square root of the number
of samples, regardless of the dimensions.
Efficient methods for generating Monte Carlo samples are the Markov
chain Monte Carlo (MCMC) methods (see, e.g., Gilks et al., 1996; Liu,
2001; Brooks et al., 2011). In MCMC methods, a Markov chain is constructed such that it has the target distribution as its stationary distribution. By simulating the Markov chain, samples from the target distribution can be generated.
Importance sampling (see, e.g., Liu, 2001) is a simple algorithm for
generating weighted samples from the target distribution. The difference
between this and direct Monte Carlo sampling and MCMC is that each of
the particles has an associated weight, which corrects for the difference
between the actual target distribution and the approximate importance
distribution ./ from which the sample was drawn.

Bayesian inference

An importance sampling estimate can be formed by drawing N samples from the importance distribution
.i / . j y1WT /;

i D 1; : : : ; N:

(2.22)

The importance weights are then computed as

wQ .i / D

1 p. .i / j y1WT /
;
N . .i / j y1WT /

(2.23)

and the expectation of any function g./ can be then approximated as

Eg./ j y1WT

N
X

wQ .i / g. .i / /;

(2.24)

wQ .i / g. .i / /
:
PN
Q .i /
i D1 w

(2.25)

i D1

or alternatively as
PN
Eg./ j y1WT

iD1

2.6 Exercises
2.1

Prove that median of distribution p. / minimizes the expected value of the
absolute error loss function
Z
Ej aj D j aj p. / d:
(2.26)

2.2

Find the optimal point estimate a which minimizes the expected value of the
loss function
C.; a/ D .

2.3

a/T R .

a/;

(2.27)

where R is a positive definite matrix, and the distribution of the parameter is

p. j y1WT /.
Assume that we have obtained T measurement pairs .xk ; yk / from the linear
regression model
yk D 1 xk C 2 ;

k D 1; 2; : : : ; T:

(2.28)

The purpose is now to derive estimates of the parameters 1 and 2 such that
the following error is minimized (least squares estimate):
E.1 ; 2 / D

T
X
kD1

.yk

1 xk

2 /2 :

(2.29)

Exercises

(a) Define y D .y1 : : : yT /T and D .1 2 /T . Show that the set of

Equations (2.28) can be written in matrix form as
y D X ;
with a suitably defined matrix X.
(b) Write the error function in Equation (2.29) in matrix form in terms of y,
X, and .
(c) Compute the gradient of the matrix form error function and solve the
least squares estimate of the parameter by finding the point where the
gradient is zero.
2.4

Assume that in the linear regression model above (Equation (2.28)) we set
independent Gaussian priors for the parameters 1 and 2 as follows:
1 N.0; 2 /;
2 N.0; 2 /;
where the variance 2 is known. The measurements yk are modeled as
yk D 1 xk C 2 C "k ;

k D 1; 2; : : : ; T;

where the terms "k are independent Gaussian errors with mean 0 and variance 1, that is, "k N.0; 1/. The values xk are fixed and known. The posterior distribution can be now written as
p. j y1 ; : : : ; yT /
/ exp

T
1X
.yk
2
kD1

!
1 xk

2 /

exp

1 2

2 2 1

exp

1 2
:

2 2 2

The posterior distribution can be seen to be Gaussian and your task is to

derive its mean and covariance.
(a) Write the exponent of the posterior distribution in matrix form as in
Exercise 2.3 (in terms of y, X, , and 2 ).
(b) Because a Gaussian distribution is always symmetric, its mean m is at
the maximum of the distribution. Find the posterior mean by computing
the gradient of the exponent and finding where it vanishes.
(c) Find the covariance of the distribution by computing the second derivative matrix (Hessian matrix) H of the exponent. The posterior covariance is then P D H 1 (why?).
(d) What is the resulting posterior distribution? What is the relationship
with the least squares estimate in Exercise 2.3?

26
2.5

Bayesian inference
Implement an importance sampling based approximation for the Bayesian
linear regression problem in the above Exercise 2.4. Use a suitable Gaussian
distribution as the importance distribution for the parameters . Check that
the posterior mean and covariance (approximately) coincide with the exact
values computed in Exercise 2.4.

3
Batch and recursive Bayesian estimation

In order to understand the meaning and applicability of Bayesian filtering

and its relationship to recursive estimation, it is useful to go through an
example where we solve a simple and familiar linear regression problem
in a recursive manner. After that we generalize this concept to include a
dynamic model in order to illustrate the differences in dynamic and batch
estimation.

3.1 Batch linear regression

Consider the linear regression model
yk D 1 C 2 tk C "k ;

(3.1)

where we assume that the measurement noise is zero mean Gaussian

with a given variance "k N.0; 2 / and the prior distribution of the
parameters D .1 2 /T is Gaussian with known mean and covariance N.m0 ; P0 /. In the classical linear regression problem we
want to estimate the parameters from a set of measurement data
D D f.t1 ; y1 /; : : : ; .tT ; yT /g. The measurement data and the true linear
function used in simulation are illustrated in Figure 3.1.
In compact probabilistic notation the linear regression model can be
written as
p.yk j / D N.yk j Hk ; 2 /
p./ D N. j m0 ; P0 /;

(3.2)

where we have introduced the row vector Hk D .1 tk / and N./ denotes

the Gaussian probability density function (see Section A.1). Note that we
denote the row vector Hk in matrix notation, because it generally is a matrix (when the measurements are vector valued) and we want to avoid using
different notations for scalar and vector measurements. The likelihood of
yk is conditional on the regressors tk also (or equivalently Hk ), but because
27

Batch and recursive Bayesian estimation

28
2

Measurement
True Signal

1.5

0.5
0

0.2

0.4

0.6

0.8

Figure 3.1 The underlying truth and the measurement data in the
simple linear regression problem.

the regressors are assumed to be known, to simplify the notation we will

not denote this dependence explicitly and from now on this dependence is
assumed to be understood from the context.
The batch solution to the linear regression problem in Equation (3.2) can
be obtained by a straightforward application of Bayes rule
p. j y1WT / / p./

T
Y

p.yk j /

kD1

D N. j m0 ; P0 /

T
Y

N.yk j Hk ; 2 /:

kD1

In the posterior distribution above, we assume the conditioning on tk and

Hk , but will not denote it explicitly. Thus the posterior distribution is denoted to be conditional on y1WT , and not on the data set D also containing
the regressor values tk . The reason for this simplification is that the simplified notation will also work in more general filtering problems, where there
is no natural way of defining the associated regressor variables.
Because the prior and likelihood are Gaussian, the posterior distribution
will also be Gaussian:
p. j y1WT / D N. j mT ; PT /:

(3.3)

3.1 Batch linear regression

2
Measurement
True Signal
Estimate

1.5

0.5
0

0.2

0.4

0.6

0.8

Figure 3.2 The result of simple linear regression with a slight

regularization prior used for the regression parameters. For
simplicity, the variance was assumed to be known.

The mean and covariance can be obtained by completing the quadratic

form in the exponent, which gives:

1

1
1 T
1
m
H
y
C
P
mT D P0 1 C 2 HT H
0 ;
0

2

1
1 T
1
PT D P0 C 2 H H
;
(3.4)

where Hk D .1 tk / and
0 1 0
H1
1
B :: C B ::
H D @ : A D @:
HT

1
t1
:: C ;
:A

1 tT

1
y1
B C
y D @ ::: A :

(3.5)

Figure 3.2 shows the result of batch linear regression, where the posterior
mean parameter values are used as the linear regression parameters.

Batch and recursive Bayesian estimation

3.2 Recursive linear regression

A recursive solution to the regression problem (3.2) can be obtained by
assuming that we already have obtained the posterior distribution conditioned on the previous measurements 1; : : : ; k 1 as follows:
p. j y1Wk

D N. j mk

1 ; Pk 1 /:

Now assume that we have obtained a new measurement yk and we want to

compute the posterior distribution of given the old measurements y1Wk 1
and the new measurement yk . According to the model specification the
new measurement has the likelihood
p.yk j / D N.yk j Hk ; 2 /:
Using the batch version equations such that we interpret the previous posterior as the prior, we can calculate the distribution
p. j y1Wk / / p.yk j / p. j y1Wk

/ N. j mk ; Pk /;

(3.6)

where the Gaussian distribution parameters are

1

1 T
1 T
1
H yk C Pk 11 mk
mk D Pk 1 C 2 Hk Hk

2 k

1
1 T
1
Pk D Pk 1 C 2 Hk Hk
:

;
(3.7)

By using the matrix inversion lemma, the covariance calculation can be

written as

1
Pk D Pk 1 Pk 1 HTk Hk Pk 1 HTk C 2
Hk Pk 1 :
By introducing temporary variables Sk and Kk the calculation of the mean
and covariance can be written in the form
Sk D Hk Pk
Kk D Pk
mk D mk
Pk D Pk

HTk C 2 ;

HTk Sk 1 ;

1
1

C Kk yk
Kk Sk KTk :

Hk mk

1 ;

(3.8)

Note that Sk D Hk Pk 1 HTk C 2 is scalar because the measurements are

scalar and thus no matrix inversion is required.
The equations above actually are special cases of the Kalman filter update equations. Only the update part of the equations (as opposed to the

3.3 Batch versus recursive estimation

1.2
1
0.8
0.6

0.4
0.2
0
Recursive E[ 1 ]

0.2

Batch E[ 1 ]

0.4

Recursive E[ 2 ]

0.6

Batch E[ 2 ]

0.8
0

0.2

0.4

0.6

0.8

Figure 3.3 Convergence of the recursive linear regression

parameters means. The final value is exactly the same as that
obtained with batch linear regression.

prediction and update) is required, because the estimated parameters are assumed to be constant, that is, there is no stochastic dynamics model for the
parameters . Figures 3.3 and 3.4 illustrate the convergence of the means
and variances of the parameters during the recursive estimation.

3.3 Batch versus recursive estimation

In this section we generalize the recursion idea used in the previous section
to general probabilistic models. The underlying idea is simply that at each
measurement we treat the posterior distribution of the previous time step
as the prior for the current time step. This way we can compute the same
solution in a recursive manner that we would obtain by direct application
of Bayes rule to the whole (batch) data set.
The batch Bayesian solution to a statistical estimation problem can be
formulated as follows.

Batch and recursive Bayesian estimation

32
0

Recursive Var[ 1 ]
Batch Var[ 1 ]

Recursive Var[ 2 ]

Batch Var[ 2 ]
2

0.2

0.4

0.6

0.8

Figure 3.4 Convergence of the variances of linear regression

parameters plotted on logarithmic scale. As can be seen, every
measurement brings more information and the uncertainty
decreases monotonically. The final values are the same as the
variances obtained from the batch solution.

1 Specify the likelihood model of measurements p.yk j / given the parameter . Typically the measurements yk are assumed to be conditionally independent such that
p.y1WT j / D

T
Y

p.yk j /:

kD1

2 The prior information about the parameter is encoded into the prior
distribution p./.
3 The observed data set is D D f.t1 ; y1 /; : : : ; .tT ; yT /g, or if we drop the
explicit conditioning on tk , the data is D D y1WT .
4 The batch Bayesian solution to the statistical estimation problem can be
computed by applying Bayes rule:
T

p. j y1WT / D

Y
1
p./
p.yk j /;
Z
kD1

3.3 Batch versus recursive estimation

where Z is the normalization constant

Z
T
Y
Z D p./
p.yk j / d:
kD1

For example, the batch solution of the above kind to the linear regression
problem (3.2) was given by Equations (3.3) and (3.4).
The recursive Bayesian solution to the above statistical estimation problem can be formulated as follows.
1 The distribution of measurements is again modeled by the likelihood
function p.yk j / and the measurements are assumed to be conditionally independent.
2 In the beginning of estimation (i.e., at step 0), all the information about
the parameter we have is contained in the prior distribution p./.
3 The measurements are assumed to be obtained one at a time, first y1 ,
then y2 and so on. At each step we use the posterior distribution from
the previous time step as the current prior distribution:
1
p.y1 j /p./;
Z1
1
p. j y1W2 / D
p.y2 j /p. j y1 /;
Z2
1
p. j y1W3 / D
p.y3 j /p. j y1W2 /;
Z3
::
:
1
p. j y1WT / D
p.yT j /p. j y1WT 1 /:
ZT
p. j y1 / D

It is easy to show that the posterior distribution at the final step above
is exactly the posterior distribution obtained by the batch solution. Also,
reordering of measurements does not change the final solution.
For example, Equations (3.6) and (3.7) give the one step update rule for the
linear regression problem in Equation (3.2).
The recursive formulation of Bayesian estimation has many useful properties.
The recursive solution can be considered as the on-line learning solution
to the Bayesian learning problem. That is, the information on the parameters is updated in an on-line manner using new pieces of information as
they arrive.

Batch and recursive Bayesian estimation

Because each step in the recursive estimation is a full Bayesian update

step, batch Bayesian inference is a special case of recursive Bayesian
inference.
Due to the sequential nature of estimation we can also model the effect
of time on the parameters. That is, we can model what happens to the
parameter between the measurements this is actually the basis of
filtering theory, where time behavior is modeled by assuming the parameter to be a time-dependent stochastic process .t /.

3.4 Drift model for linear regression

Assume that we have a similar linear regression model as in Equation (3.2),
but the parameter is allowed to perform a Gaussian random walk between the measurements:
p.yk j k / D N.yk j Hk k ; 2 /;
p.k j k

D N.k j k

1 ; Q/;

p.0 / D N.0 j m0 ; P0 /;

(3.9)

where Q is the covariance of the random walk. Now, given the distribution
p.k

j y1Wk

D N.k

the joint distribution of k and k

p.k ; k

j y1Wk

j mk

1 ; Pk 1 /;

is1

D p.k j k

1 / p.k 1

j y1Wk

1 /:

The distribution of k given the measurement history up to time step k

can be calculated by integrating over k 1 :
Z
p.k j y1Wk 1 / D p.k j k 1 / p.k 1 j y1Wk 1 / dk 1 :

This relationship is sometimes called the ChapmanKolmogorov equation.

Because p.k j k 1 / and p.k 1 j y1Wk 1 / are Gaussian, the result of the
marginalization is Gaussian,
p.k j y1Wk

D N.k j mk ; Pk /;

where
mk D mk
Pk D Pk
1

1;
1

C Q:

Note that this formula is correct only for Markovian dynamic models, where
p.k j k 1 ; y1Wk 1 / D p.k j k 1 /.

3.4 Drift model for linear regression

1.5
Measurements
True Signal
Estimate

0.5

1.5
0

0.5

1
t

1.5

Figure 3.5 Example of tracking a sine signal with linear model

with drift, where the parameters are allowed to vary according to
the Gaussian random walk model.

By using this as the prior distribution for the measurement likelihood

p.yk j k / we get the parameters of the posterior distribution
p.k j y1Wk / D N.k j mk ; Pk /;
which are given by Equations (3.8), when mk
mk and Pk :

and Pk

are replaced by

Sk D Hk Pk HTk C 2 ;
Kk D Pk HTk Sk 1 ;
mk D mk C Kk yk
Pk D Pk

Hk mk ;

Kk Sk KTk :

(3.10)

This recursive computational algorithm for the time-varying linear regression weights is again a special case of the Kalman filter algorithm. Figure 3.5 shows the result of recursive estimation of a sine signal assuming a
small diagonal Gaussian drift model for the parameters.
At this point we change from the regression notation used so far into
state space model notation, which is commonly used in Kalman filtering and related dynamic estimation literature. Because this notation easily
causes confusion to people who have got used to regression notation, this
point is emphasized.

Batch and recursive Bayesian estimation

In state space notation x means the unknown state of the system, that is,
the vector of unknown parameters in the system. It is not the regressor,
covariate or input variable of the system.
For example, the time-varying linear regression model with drift presented in this section can be transformed into the more standard state
space model notation by replacing the variable k D .1;k 2;k /T with
the variable xk D .x1;k x2;k /T :
p.yk j xk / D N.yk j Hk xk ; 2 /;
p.xk j xk

D N.xk j xk

1 ; Q/;

p.x0 / D N.x0 j m0 ; P0 /:

(3.11)

From now on, the symbol is reserved for denoting the static parameters
of the state space model. Although there is no fundamental difference between states and static parameters of the model (we can always augment
the parameters as part of the state), it is useful to treat them separately.

3.5 State space model for linear regression with drift

The linear regression model with drift in the previous section had the disadvantage that the covariates tk occurred explicitly in the model specification.
The problem with this is that when we get more and more measurements,
the parameter tk grows without bound. Thus the conditioning of the problem also gets worse in time. For practical reasons it also would be desirable
to have a time-invariant model, that is, a model which is not dependent on
the absolute time, but only on the relative positions of states and measurements in time.
The alternative state space formulation of the linear regression model
with drift, without using explicit covariates, can be done as follows. Lets
denote the time difference between consecutive times as tk 1 D tk tk 1 .
The idea is that if the underlying phenomenon (signal, state, parameter) xk
was exactly linear, the difference between adjacent time points could be
written exactly as
xk

D xP tk

(3.12)

where xP is the derivative, which is constant in the exactly linear case. The
divergence from the exactly linear function can be modeled by assuming
that the above equation does not hold exactly, but there is a small noise
term on the right hand side. The derivative can also be assumed to perform
a small random walk and thus not be exactly constant. This model can be

3.5 State space model for linear regression with drift

written as follows:
x1;k D x1;k

C tk

1 x2;k 1

x2;k D x2;k

C q2;k

C q1;k

yk D x1;k C rk ;

(3.13)

where the signal is the first components of the state, x1;k , xk , and the
derivative is the second, x2;k , xP k . The noises are rk N.0; 2 / and
.q2;k 1 ; q2;k 1 / N.0; Q/. The model can also be written in the form
p.yk j xk / D N.yk j H xk ; 2 /;
p.xk j xk

D N.xk j Ak

1 ; Q/;

(3.14)

where
Ak

1 tk
0
1

HD 1 0 :

With a suitable Q this model is actually equivalent to model (3.9), but in

this formulation we explicitly estimate the state of the signal (point on the
regression line) instead of the linear regression parameters.
We could now explicitly derive the recursion equations in the same
manner as we did in the previous sections. However, we can also use the
Kalman filter, which is a readily derived recursive solution to generic linear
Gaussian models of the form
p.yk j xk / D N.yk j Hk xk ; Rk /;
p.xk j xk

D N.xk j Ak

1 ; Qk 1 /:

Our alternative linear regression model in Equation (3.13) can be seen to

be a special case of these models. The Kalman filter equations are often
expressed as prediction and update steps as follows.
1 Prediction step:
mk D Ak

Pk D Ak

1;
1

ATk

C Qk

2 Update step:
Sk D Hk Pk HTk C Rk ;
Kk D Pk HTk Sk 1 ;
mk D mk C Kk yk
Pk D Pk

Hk mk ;

Kk Sk KTk :

Batch and recursive Bayesian estimation

38
1.5

Measurements
True Signal
Estimate

0.5

1.5
0

0.5

1
t

1.5

Figure 3.6 Example of tracking a sine signal with Kalman filter

using the locally linear state space model. The result differs a bit
from the random walk parameter model, because of slightly
different choice of process noise. It could be made equivalent if
desired.

The result of tracking the sine signal with Kalman filter is shown in Figure 3.6. All the mean and covariance calculation equations given in this
book so far have been special cases of the above equations, including the
batch solution to the scalar measurement case (which is a one-step solution). The Kalman filter recursively computes the mean and covariance of
the posterior distributions of the form
p.xk j y1Wk / D N.xk j mk ; Pk /:
Note that the estimates of xk derived from this distribution are nonanticipative in the sense that they are only conditional on the measurements obtained before and at the time step k. However, after we have
obtained the measurements y1 ; : : : ; yk , we could compute estimates of
xk 1 ; xk 2 ; : : :, which are also conditional to the measurements after the
corresponding state time steps. Because more measurements and more
information is available for the estimator, these estimates can be expected
to be more accurate than the non-anticipative measurements computed by
the filter.
The above mentioned problem of computing estimates of the state
by conditioning not only on previous measurements, but also on future

3.6 Examples of state space models

1.5
Measurements
True Signal
Estimate

0.5

1.5
0

0.5

1
t

1.5

Figure 3.7 Example of tracking a sine signal with the

RauchTungStriebel (RTS) smoother using the locally linear
state space model. The result is much smoother and more
accurate than the result of the Kalman filter.

measurements, is called Bayesian smoothing as already mentioned in

Section 1.3. The Bayesian smoothing solution to the linear Gaussian
state space models is given by the RauchTungStriebel (RTS) smoother.
The full Bayesian theory of smoothing will be presented in Chapter 8.
The result of tracking the sine signal with the RTS smoother is shown in
Figure 3.7.
It is also possible to predict the time behavior of the state in the future
that we have not yet measured. This procedure is called optimal prediction.
Because optimal prediction can always be done by iterating the prediction
step of the optimal filter, no specialized algorithms are needed for this.
The result of prediction of the future values of the sine signal is shown in
Figure 3.8.

3.6 Examples of state space models

In the previous sections we saw that a simple one-dimensional linear regression problem can be converted into a state space model which can
be solved using the Kalman filter. In an analogous manner, more general

Batch and recursive Bayesian estimation

40
1.5

0.5

0.5
Measurements
True Signal
Estimate

1.5
0

0.5

1.5

2.5

Figure 3.8 Example of prediction of a sine signal with optimal

linear predictor (the Kalman filter prediction step) using the
locally linear state space model. The prediction is a straight line
extending to infinity as the model states.

linear-in-parameters models can be converted into state space models. This

is demonstrated in the following example.
Example 3.1 (Linear-in-parameters regression model I) Consider the following parametric model, where g1 .tk /; : : : ; gd .tk / are some given functions of time tk :
yk D w0 C w1 g1 .tk / C C wd gd .tk / C "k ;

(3.15)

and "k is a Gaussian measurement noise. The problem of determining the

weights w0 ; : : : ; wd from a set of measurements f.t1 ; y1 /; : : : ; .tT ; yT /g
can be converted into a Kalman filtering problem as follows. If we define
Hk D .1 g1 .tk / gd .tk // and xk D x D .w0 w1 wd /T , we can
rewrite the model as a linear Gaussian state space model:
xk D xk

yk D Hk xk C "k :

(3.16)

Because the model is a linear Gaussian state space model, we can use
linear Kalman filter for estimating the parameters.

3.6 Examples of state space models

There is no reason why we should select the functions gi above to be

explicit functions of time. Instead, they can be functions of arbitrary regressors as is illustrated in the following example.
Example 3.2 (Linear-in-parameters regression model II) Consider the
following parametric model, where g1 .s/; : : : ; gd .s/ are some given functions of a regressor variable s 2 Rn :
yk D w0 C w1 g1 .sk / C C wd gd .sk / C "k ;

(3.17)

where the weights w0 ; : : : ; wd are to be estimated from a set of measurements f.s1 ; y1 /; : : : ; .sT ; yT /g. Analogously to the previous example, we
can convert the problem into a linear Gaussian state space model by defining Hk D .1 g1 .sk / gd .sk // and xk D x D .w0 w1 wd /T .
Linearity of the state space models in the above examples resulted from
the property that the models are linear in parameters. Generalized linear
models involving non-linear link functions will lead to non-linear state
space models, as is illustrated with the following example.
Example 3.3 (Generalized linear model)
linear model is

An example of a generalized

yk D g.w0 C w T sk / C "k ;

(3.18)

where g./ is some given non-linear link function and sk is a vector of

regressors. If we define the state as x D .w0 ; w/ and hk .x/ , g.w0 C
w T sk /, we get the following non-linear Gaussian state space model:
xk D xk

yk D hk .xk / C "k :

(3.19)

Because the state space model is non-linear, instead of the linear Kalman
filter, we need to use non-linear Kalman filters such as the extended Kalman
filter (EKF) or the unscented Kalman filter (UKF) to cope with the nonlinearity.
One general class of non-linear regression models, which can be converted into state space models using an analogous approach to the above,
is the multi-layer perceptron (MLP) neural networks (see, e.g., Bishop,
2006). Using a non-linear Kalman filter is indeed one way to train (to estimate the parameters of) such models (Haykin, 2001). However, non-linear
regression models of this kind arise in various others contexts as well.
In digital signal processing (DSP), an important class of models is linear
signal models such as autoregressive (AR) models, moving average (MA)

Batch and recursive Bayesian estimation

models, autoregressive moving average models (ARMA) and their generalizations (see, e.g., Hayes, 1996). In those models one is often interested
in performing adaptive filtering, which refers to the methodology where
the parameters of the signal model are estimated from data. These kinds
of adaptive filtering problem can often be formulated as Kalman filtering
problems, as is illustrated in the following example.
Example 3.4 (Autoregressive (AR) model) An autoregressive (AR) model
of order d has the form
yk D w1 yk

C C wd yk

C "k ;

(3.20)

where "k is a white Gaussian noise process. The problem of adaptive filtering is to estimate the weights w1 ; : : : ; wd given the observed signal
y1 ; y2 ; y3 ; : : :. If we let Hk D .yk 1 yk d / and define the state as
xk D .w1 wd /T , we get a linear Gaussian state space model
xk D xk

yk D Hk xk C "k :

(3.21)

Thus the adaptive filtering problem can be solved with a linear Kalman
filter.
The classical algorithm for an adaptive filtering is called the least mean
squares (LMS) algorithm, and it can be interpreted as an approximate version of the above Kalman filter. However, in LMS algorithms it is common
to allow the model to change in time, which in the state space context corresponds to setting up a dynamic model for the model parameters. This
kind of model is illustrated in the next example.
Example 3.5 (Time-varying autoregressive (TVAR) model) In a timevarying autoregressive (TVAR) model the weights are assumed to depend
on the time step number k as
yk D w1;k yk

C C wd;k yk

C "k :

(3.22)

A typical model for the time dependence of weights is the random walk
model
wi;k D wi;k

C qi;k

qi;k

N.0; Qi /;

i D 1; : : : ; d:

(3.23)

If we define the state as xk D .w1;k 1 wd;k 1 /T , this model can be

written as a linear Gaussian state space model with process noise qk 1 D

3.6 Examples of state space models

.y1 ; y2 /
g1 .t/

g2 .t /
(a)

(b)

Figure 3.9 Illustration of cars (a) dynamic and (b) measurement

models. In the dynamic model, the unknown forces g1 .t / and
g2 .t / are modeled as white noise processes. The measurements
.y1 ; y2 / are modeled as noise corrupted observations of the cars
position.

.q1;k

qd;k

:
xk D xk

C qk

yk D Hk xk C "k :

(3.24)

More general (TV)ARMA models can be handled similarly.

In tracking and navigation (Bar-Shalom et al., 2001) the dynamic models
are often built based on Newtonian physics and classical mechanics. This
procedure also leads to linear and non-linear state space models. In the
following example we build a simple dynamic model for a car and its
measurement process.
Example 3.6 (State space model of a car) The dynamics of the car in 2d
.x1 ; x2 / are governed by Newtons law (see Figure 3.9(a))
g.t / D m a.t /;

(3.25)

where a.t/ is the acceleration, m is the mass of the car, and g.t / is a vector
of (unknown) forces acting on the car. Lets now model g.t /=m as a twodimensional white random process
d2 x1
D w1 .t /;
dt 2
d2 x2
D w2 .t /:
dt 2

(3.26)

Batch and recursive Bayesian estimation

If we define x3 .t/ D dx1 = dt, x4 .t / D dx2 = dt , then the model can be

written as a first order system of differential equations
0 1 0
10 1 0
1
x1
0 0 1 0
x1
0 0
C B
CB C B
C
d B
Bx2 C D B0 0 0 1C Bx2 C C B0 0C w1 :
(3.27)
A
A
@
@
A
@
@
x3
0 0 0 0
1 0 A w2
dt x3
x4
x4
0 0 0 0
0 1

In shorter matrix form this can be written as a continuous-time linear

dynamic model of the form
dx
D F x C L w:
dt
If the state of the car is measured (sampled) with sampling period t
it suffices to consider the state of the car only at the time instants t 2
f0; t; 2t; : : :g. The dynamic model can be discretized, which leads to
0
1 0
10
1
x1;k
1 0 t 0
x1;k 1
Bx2;k C B0 1 0 t C Bx2;k 1 C
B
C B
CB
C C qk ;
(3.28)
@x3;k A D @0 0 1
0 A @x3;k 1 A
x4;k
0 0 0
1
x4;k 1

where qk is a discrete-time Gaussian noise process. This can be seen to be

a (discrete-time) linear dynamic model of the form
xk D A xk

C qk

where xk D x.tk /, and A is the transition matrix.

Assume that the position of the car .x1 ; x2 / is measured and the measurements are corrupted by Gaussian measurement noise .r1;k ; r2;k / (see
Figure 3.9(b)):
y1;k D x1;k C r1;k ;
y2;k D x2;k C r2;k :
The measurement model can now be written as

1 0 0 0
:
yk D H xk C rk ;
HD
0 1 0 0

(3.29)

(3.30)

3.6 Examples of state space models

w.t /
g

Figure 3.10 Illustration of pendulum example. In addition to the

gravitation g there is an additional unknown force component
w.t /, which is modeled as white noise.

The dynamic and measurement models of the car form a linear Gaussian
state space model
xk D A xk

C qk

yk D H xk C rk ;
where qk 1 N.0; Q/ and rk N.0; R/. The state of the car from the
noisy measurements can be estimated using the Kalman filter.
The above car model is a linear Gaussian state space model, because
the model was based on a linear differential equation, and the measured
quantities were linear functions of the state. However, if either the dynamic
or measurement model is non-linear, we get a non-linear state space model,
as is illustrated in the following example.
Example 3.7 (Noisy pendulum model) The differential equation for a
simple pendulum (see Figure 3.10) with unit length and mass can be written
as
d2
D g sin./ C w.t /;
(3.31)
dt 2
where is the angle, g is the gravitational acceleration and w.t / is a
random noise process. This model can be converted into the following state

Batch and recursive Bayesian estimation

space model:
d
dt

x2
0
x1
D
C
w.t /;
g sin.x1 /
1
x2

(3.32)

where x1 D and x2 D d= dt . This can be seen to be a special case of

continuous-time non-linear dynamic models of the form
dx
D f .x/ C L w;
(3.33)
dt
where f .x/ is a non-linear function. We can then, for example, consider
measuring the angular position of the pendulum, which leads to the linear
Gaussian measurement model
yk D .tk / C noise:

(3.34)

However, if we measured only the horizontal position of the pendulum, we

would get a non-linear measurement model
yk D sin..tk // C noise:

(3.35)

By a suitable numerical integration scheme we can convert the non-linear

dynamic model into a discrete-time non-linear dynamic model, which then
results in a model of the generic non-linear state space form
xk D f .xk

1 ; qk 1 /;

yk D h.xk ; rk /;

(3.36)

where yk is the vector of measurements, qk 1 N.0; Q/, and rk

N.0; R). Estimation of the pendulum state can be now implemented using,
for example, the extended Kalman filter (EKF), unscented Kalman filter
(UKF) or particle filter.

3.7 Exercises
3.1

In this exercise your task is to implement a simple Kalman filter using readymade codes and analyze the results.
R
(a) Download and install the EKF/UKF toolbox2 to some MATLAB
computer. Run the following demonstrations:

demos/kf_sine_demo/kf_sine_demo.m
demos/kf_cwpa_demo/kf_cwpa_demo.m
2

The EKF/UKF toolbox is available for download on the web page

becs.aalto.fi/en/research/bayes/ekfukf/

Exercises

After running them read the contents of these files and try to
understand how they have been implemented. Also read the documentation for the functions kf_predict and kf_update (type, e.g.,
R
help kf_predict in MATLAB
).
(b) Consider the following state space model:

1 1
xk D
x
C qk 1 ;
0 1 k 1

yk D 1 0 xk C rk ;
(3.37)
where xk D .xk xP k /T is the state, yk is the measurement, and qk
N.0; diag.1=102 ; 12 // and rk N.0; 102 / are white Gaussian noise
processes.
Simulate a 100 step state sequence from the model and plot the signal
xk , signal derivative xP k , and the simulated measurements yk . Start from
an initial state drawn from the zero-mean 2d-Gaussian distribution with
identity covariance.
(c) Use the Kalman filter for computing the state estimates mk using
R
-code along the following lines:
MATLAB
m = [0;0]; % Initial mean
P = eye(2); % Initial covariance
for k = 1:100
[m,P] = kf_predict(m,P,A,Q);
[m,P] = kf_update(m,P,y(k),H,R);
% Store the estimate m of state x_k here
end

(d) Plot the state estimates mk , the true states xk and measurements yk .
Compute the root mean squared error (RMSE) of using the first components of vectors mk as the estimates of the first components of states
xk . Also compute the RMSE error that we would have if we used the
measurements as the estimates.
3.2

Note that the model in Exercise 2.4 can be rewritten as a linear state space
model
wk D wk

yk D Hk wk C "k ;
where Hk D .xk 1/, w0 N.0; 2 I/ and "k N.0; 1/. The state in
the model is now wk D .1 2 /T and the measurements are yk for k D
1; : : : ; T . Assume that the Kalman filter is used for processing the measurements y1 ; : : : ; yT . Your task is to prove that at time step T , the mean and
covariance of wT computed by the Kalman filter are the same as the mean
and covariance of the posterior distribution computed in Exercise 2.4.

Batch and recursive Bayesian estimation

The Kalman filter equations for the above model can be written as:
T
1 Hk

Sk D Hk Pk
Kk D

Pk 1 HTk

mk D mk
Pk D Pk

C 1;

Sk ;

C Kk .yk

1 /;

H k mk

Kk Sk KTk :

(a) Write formulas for the posterior mean mk 1 and covariance Pk 1 assuming that they are the same as those which would be obtained if the
pairs f.xi ; yi / W i D 1; : : : ; k 1g were (batch) processed as in Exercise 2.4. Write similar equations for the mean mk and covariance Pk .
Show that the posterior means can be expressed in the form
mk

T
1 Xk 1 yk 1 ;
Pk XTk yk ;

D Pk

mk D

where Xk 1 and yk 1 have been constructed as X and y in Exercise 2.4,

except that only the pairs f.xi ; yi / W i D 1; : : : ; k 1g have been used,
and Xk and yk have been constructed similarly from pairs up to the step
k.
(b) Rewrite the expressions XTk Xk and XTk yk in terms of Xk 1 , yk 1 , Hk
and yk . Substitute these into the expressions of mk and Pk obtained in
(a).
(c) Expand the expression of the covariance Pk D Pk 1 Kk Sk KTk by
substituting the expressions for Kk and Sk . Convert it to a simpler form
by applying the matrix inversion lemma
Pk

T
1 Hk

.Hk Pk

T
1
Hk
1 Hk C1/

D .Pk 11 CHTk Hk /

Show that this expression for Pk is equivalent to the expression in (a).

(d) Expand the expression of the mean mk D mk 1 C Kk .yk Hk mk 1 /
and show that the result is equivalent to the expression obtained in (a).
Hint: the Kalman gain can also be written as Kk D Pk HTk .
(e) Prove by an induction argument that the mean and covariance computed
by the Kalman filter at step T is the same as the posterior mean and
covariance obtained in Exercise 2.4.
3.3

Consider the regression problem

yk D a1 sk C a2 sin.sk / C b C "k ;

k D 1; : : : ; T;

"k N.0; R/;

a1 N.0; 12 /;
a2 N.0; 22 /;
b N.0; b2 /;

(3.38)

Exercises

3.4

where sk 2 R are the known regressor values, R; 12 ; 22 ; b2 are given positive constants, yk 2 R are the observed output variables, and "k are independent Gaussian measurement errors. The scalars a1 , a2 , and b are the
unknown parameters to be estimated. Formulate the estimation problem as a
linear Gaussian state space model.
Consider the model
xk D

d
X

ai xk

C qk

i D1

yk D xk C "k ;

3.5

(3.39)

where the values fyk g are observed, qk 1 and "k are independent Gaussian
noises, and the weights a1 ; : : : ; ad are known. The aim is to estimate the
sequence fxk g. Rewrite the problem as an estimation problem in a linear
Gaussian state space model.
Recall that the Gaussian probability density is defined as

1
1
T
1
:
exp
.x
m/
P
.x
m/
N.x j m; P / D
2
.2 /n=2 jP j1=2
Derive the following Gaussian identities.
(a) Let x and y have the Gaussian densities
p.x/ D N.x j m; P /;

p.y j x/ D N.y j H x; R/;

then the joint distribution of x and y is

x
m
P
N
;
y
Hm
HP

P HT
H P HT C R

and the marginal distribution of y is

y N.H m; H P HT C R/:
Hint: use the properties of expectation EH x C r D H Ex C Er and
CovH x C r D H Covx HT C Covr (if x and r are independent).
(b) Write down the explicit expression for the joint and marginal probability
densities above:
p.x; y/ D p.y j x/ p.x/ D
Z
p.y/ D p.y j x/ p.x/ d x D
(c) If the random variables x and y have the joint Gaussian probability
density

A C
x
a
N
;
;
y
b
CT B

Batch and recursive Bayesian estimation

then the conditional density of x given y is

x j y N.a C C B

b/; A

C T /:

Hints:

D11 D12
and expand the
T
D22
D12
quadratic form in the Gaussian exponent.
Compute the derivative with respect to x and set it to zero. Conclude
that due to symmetry the point where the derivative vanishes is the
mean.
Check from a linear algebra book that the inverse of D11 is given by
the Schur complement:

Denote inverse covariance as D D

D111 D A

and that D12 can be then written as

D12 D

D11 C B

Find the simplified expression for the mean by applying the identities
above.
Find the second derivative of the negative Gaussian exponent with
respect to x. Conclude that it must be the inverse conditional covariance of x.
Use the Schur complement expression above for computing the conditional covariance.

4
Bayesian filtering equations and
exact solutions
In this chapter, we derive the Bayesian filtering equations, which are the
general equations for computing Bayesian filtering solutions to both linear
Gaussian and non-linear/non-Gaussian state space models. We also derive
the Kalman filtering equations which give the closed form solution to the
linear Gaussian Bayesian filtering problem.

4.1 Probabilistic state space models

Bayesian filtering is considered with state estimation in general probabilistic state space models which have the following form.
Definition 4.1 (Probabilistic state space model) A probabilistic state
space model or non-linear filtering model consists of a sequence of
conditional probability distributions:
xk p.xk j xk

1 /;

yk p.yk j xk /;

(4.1)

for k D 1; 2; : : :, where
xk 2 Rn is the state of the system at time step k,
yk 2 Rm is the measurement at time step k,
p.xk j xk 1 / is the dynamic model which describes the stochastic dynamics of the system. The dynamic model can be a probability density,
a counting measure or a combination of them depending on whether the
state xk is continuous, discrete, or hybrid.
p.yk j xk / is the measurement model, which is the distribution of measurements given the state.
The model is assumed to be Markovian, which means that it has the
following two properties.
51

Bayesian filtering equations and exact solutions

Property 4.1 (Markov property of states)

The states fxk W k D 0; 1; 2; : : :g form a Markov sequence (or Markov
chain if the state is discrete). This Markov property means that xk (and
actually the whole future xkC1 ; xkC2 ; : : :) given xk 1 is independent of
anything that has happened before the time step k 1:
p.xk j x1Wk

1 ; y1Wk 1 /

D p.xk j xk

1 /:

(4.2)

Also the past is independent of the future given the present:

p.xk

j xkWT ; ykWT / D p.xk

j xk /:

(4.3)

Property 4.2 (Conditional independence of measurements)

The current measurement yk given the current state xk is conditionally
independent of the measurement and state histories:
p.yk j x1Wk ; y1Wk

D p.yk j xk /:

(4.4)

A simple example of a Markovian sequence is the Gaussian random

walk. When this is combined with noisy measurements, we obtain the following example of a probabilistic state space model.
Example 4.1 (Gaussian random walk)
can be written as
xk D xk

C qk

yk D xk C rk ;

A Gaussian random walk model

N.0; Q/;

rk N.0; R/;

(4.5)

where xk is the hidden state (or signal) and yk is the measurement. In

terms of probability densities the model can be written as
p.xk j xk

D N.xk j xk 1 ; Q/

1
1
2
exp
.xk xk 1 / ;
Dp
2Q
2Q
p.yk j xk / D N.yk j xk ; R/

1
1
2
.yk xk / ;
Dp
exp
2R
2R
1/

(4.6)

which is a probabilistic state space model. Example realizations of the

signal xk and measurements yk are shown in Figure 4.1. The parameter
values in the simulation were Q D R D 1.

4.1 Probabilistic state space models

Signal
Measurement

4
2

0
2
4
6
8
10
0

40
60
Time step k

100

Figure 4.1 Simulated signal and measurements from the

Gaussian random walk model in Example 4.1.

With the Markovian assumption and the filtering model (4.1), the joint
prior distribution of the states x0WT D fx0 ; : : : ; xT g, and the joint likelihood of the measurements y1WT D fy1 ; : : : ; yT g are, respectively,
p.x0WT / D p.x0 /

T
Y

p.xk j xk

1 /;

(4.7)

kD1
T
Y

p.y1WT j x0WT / D

p.yk j xk /:

(4.8)

kD1

In principle, for a given T we could simply compute the posterior distribution of the states by Bayes rule:
p.y1WT j x0WT / p.x0WT /
p.y1WT /
/ p.y1WT j x0WT / p.x0WT /:

p.x0WT j y1WT / D

(4.9)

However, this kind of explicit usage of the full Bayes rule is not feasible in
real-time applications, because the number of computations per time step
increases as new observations arrive. Thus, this way we could only work
with small data sets, because if the amount of data is unbounded (as in realtime sensing applications), then at some point of time the computations

Bayesian filtering equations and exact solutions

will become intractable. To cope with real-time data we need to have an

algorithm which does a constant number of computations per time step.
As discussed in Section 1.3, filtering distributions, prediction distributions, and smoothing distributions can be computed recursively such that
only a constant number of computations is done on each time step. For this
reason we shall not consider the full posterior computation at all, but concentrate on the above-mentioned distributions instead. In this and the few
following chapters, we consider computation of the filtering and prediction
distributions; algorithms for computing the smoothing distributions will be
considered in later chapters.

4.2 Bayesian filtering equations

The purpose of Bayesian filtering is to compute the marginal posterior
distribution or filtering distribution of the state xk at each time step k given
the history of the measurements up to the time step k:
p.xk j y1Wk /:

(4.10)

The fundamental equations of the Bayesian filtering theory are given by

the following theorem.
Theorem 4.1 (Bayesian filtering equations) The recursive equations (the
Bayesian filter) for computing the predicted distribution p.xk j y1Wk 1 /
and the filtering distribution p.xk j y1Wk / at the time step k are given by
the following Bayesian filtering equations.
Initialization. The recursion starts from the prior distribution p.x0 /.
Prediction step. The predictive distribution of the state xk at the time
step k, given the dynamic model, can be computed by the Chapman
Kolmogorov equation
Z
p.xk j y1Wk 1 / D p.xk j xk 1 / p.xk 1 j y1Wk 1 / dxk 1 : (4.11)
Update step. Given the measurement yk at time step k the posterior
distribution of the state xk can be computed by Bayes rule
p.xk j y1Wk / D

1
p.yk j xk / p.xk j y1Wk
Zk

1 /;

where the normalization constant Zk is given as

Z
Zk D p.yk j xk / p.xk j y1Wk 1 / dxk :

(4.12)

(4.13)

4.2 Bayesian filtering equations

If some of the components of the state are discrete, the corresponding integrals are replaced with summations.

Figure 4.2 Visualization of the prediction step: prediction

propagates the state distribution of the previous measurement step
through the dynamic model such that the uncertainties
(stochastics) in the dynamic model are taken into account.

(a)

(b)

Figure 4.3 Visualization of the update step: (a) prior distribution

from prediction and the likelihood of measurement just before the
update step; (b) the posterior distribution after combining the
prior and likelihood by Bayes rule.

Bayesian filtering equations and exact solutions

Proof
as

The joint distribution of xk and xk

p.xk ; xk

j y1Wk

given y1Wk

D p.xk j xk

1 ; y1Wk 1 / p.xk 1

D p.xk j xk

1 / p.xk 1

j y1Wk

can be computed

j y1Wk
1 /;

(4.14)

where the disappearance of the measurement history y1Wk 1 is due to the

Markov property of the sequence fxk W k D 1; 2; : : :g. The marginal distribution of xk given y1Wk 1 can be obtained by integrating the distribution
(4.14) over xk 1 , which gives the ChapmanKolmogorov equation
Z
p.xk j y1Wk 1 / D p.xk j xk 1 / p.xk 1 j y1Wk 1 / dxk 1 :
(4.15)
If xk 1 is discrete, then the above integral is replaced with summation over
xk 1 . The distribution of xk given yk and y1Wk 1 , that is, given y1Wk , can be
computed by Bayes rule
1
p.yk j xk ; y1Wk 1 / p.xk j y1Wk
Zk
1
D
p.yk j xk / p.xk j y1Wk 1 /;
Zk

p.xk j y1Wk / D

(4.16)

where the normalization constant is given by Equation (4.13). The disappearance of the measurement history y1Wk 1 in Equation (4.16) is due to the
conditional independence of yk of the measurement history, given xk .

4.3 Kalman filter

The Kalman filter (Kalman, 1960b) is the closed form solution to the
Bayesian filtering equations for the filtering model, where the dynamic
and measurement models are linear Gaussian:
xk D A k

C qk

yk D Hk xk C rk ;

(4.17)

where xk 2 Rn is the state, yk 2 Rm is the measurement, qk 1

N.0; Qk 1 / is the process noise, rk N.0; Rk / is the measurement noise,
and the prior distribution is Gaussian x0 N.m0 ; P0 /. The matrix Ak 1
is the transition matrix of the dynamic model and Hk is the measurement
model matrix. In probabilistic terms the model is
p.xk j xk

D N.xk j Ak

1 ; Qk 1 /;

p.yk j xk / D N.yk j Hk xk ; Rk /:

(4.18)

4.3 Kalman filter

Theorem 4.2 (Kalman filter) The Bayesian filtering equations for the linear filtering model (4.17) can be evaluated in closed form and the resulting
distributions are Gaussian:
p.xk j y1Wk

D N.xk j mk ; Pk /;

p.xk j y1Wk / D N.xk j mk ; Pk /;

p.yk j y1Wk

D N.yk j Hk mk ; Sk /:

(4.19)

The parameters of the distributions above can be computed with the following Kalman filter prediction and update steps.
The prediction step is
mk D Ak

Pk D Ak

1;
1

ATk

C Qk

(4.20)

The update step is

vk D yk

Hk mk ;

Sk D Hk Pk HTk C Rk ;
Kk D Pk HTk Sk 1 ;
mk D mk C Kk vk ;
Pk D Pk

Kk Sk KTk :

(4.21)

The recursion is started from the prior mean m0 and covariance P0 .

Proof

The Kalman filter equations can be derived as follows.

1 By Lemma A.1 on page 209, the joint distribution of xk and xk

y1Wk 1 is
p.xk

1 ; xk

j y1Wk

D p.xk j xk

given

1 / p.xk 1

j y1Wk

D N.xk j Ak 1 xk 1 ; Qk 1 / N.xk

xk 1 0 0
DN
m ;P ;
xk

j mk

1 ; Pk 1 /

(4.22)

where

mk 1
m D
Ak 1 mk

Pk 1
0
P D
Ak 1 Pk
0

;
1

Pk 1 ATk 1
Ak 1 Pk 1 ATk 1 C Qk

;
1

(4.23)

Bayesian filtering equations and exact solutions

and the marginal distribution of xk is by Lemma A.2

p.xk j y1Wk

D N.xk j mk ; Pk /;

(4.24)

where
mk D Ak

P k D Ak

ATk

C Qk

(4.25)

2 By Lemma A.1, the joint distribution of yk and xk is

p.xk ; yk j y1Wk

D p.yk j xk / p.xk j y1Wk

D N.yk j Hk xk ; Rk / N.xk j mk ; Pk /

xk 00 00
m
;
P
;
DN

(4.26)

where
m00 D

mk
Hk mk

;

P 00 D

Pk
Hk Pk

Pk HTk
: (4.27)
Hk Pk HTk C Rk

3 By Lemma A.2 the conditional distribution of xk is

p.xk j yk ; y1Wk

D p.xk j y1Wk /
D N.xk j mk ; Pk /;

(4.28)

where
mk D mk C Pk HTk .Hk Pk HTk C Rk / 1 yk
Pk D Pk

Pk HTk

.Hk Pk HTk

C Rk /

Hk mk ;

Hk Pk ;

(4.29)

which can be also written in the form (4.21).

The functional form of the Kalman filter equations given here is not
the only possible one. From a numerical stability point of view it would
be better to work with matrix square roots of covariances instead of plain
covariance matrices. The theory and details of implementation of this kind
of method is well covered, for example, in the book of Grewal and Andrews
(2001).
Example 4.2 (Kalman filter for a Gaussian random walk) Assume that we
are observing measurements yk of the Gaussian random walk model given
in Example 4.1 and we want to estimate the state xk at each time step.
The information obtained up to time step k is summarized by the Gaussian
filtering density
p.xk j y1Wk / D N.xk j mk ; Pk /:

(4.30)

4.3 Kalman filter

Signal
Measurement
Filter Estimate
95% Quantiles

4
2

0
2
4
6
8
10
0

40
60
Time step k

100

Figure 4.4 Signal, measurements and the result of Kalman

filtering of the Gaussian random walk in Example 4.2.

The Kalman filter prediction and update equations are now given as
mk D mk

Pk D Pk

C Q;
Pk
.yk
mk D mk C
Pk C R

mk /;

.Pk /2
:
Pk C R

Pk D Pk

(4.31)

The result of applying this Kalman filter to the data in Figure 4.1 is shown
in Figure 4.4.
Example 4.3 (Kalman filter for car tracking) By discretizing the state
space model for the car in Example 3.6 we get the following linear state
space model:
xk D A xk

C qk

yk D H xk C rk ;

N.0; Q/;

(4.32)

rk N.0; R/;

(4.33)

where the state is four dimensional, x D .x1 ; x2 ; x3 ; x4 /, such that the

position of the car is .x1 ; x2 / and the corresponding velocities are .x3 ; x4 /.

Bayesian filtering equations and exact solutions

The matrices in the dynamic model are

0 c 3
q1 t
1
0
1 0 t 0
B 3
B
B0 1 0 t C
C; Q D B c0 2
ADB
B q1 t
A
@0 0 1
0
@ 2
0 0 0
1
0

0
q2c t 3
3

0
q2c

t 2
2

q1c t 2
2

0
c
q1 t
0

q2c t 2 C
C
2 C;

C
0 A
q2c t

where q1c and q2c are the spectral densities (continuous time variances)
of the process noises in each direction. The matrices in the measurement
model are

2
1 0 0 0
1 0
;
HD
;
RD
0 1 0 0
0 22
where 12 and 22 are the measurement noise variances in each position
coordinate.
The Kalman filter prediction step now becomes the following:
0

1
B 0
mk D B
@ 0
0
0

1
B 0
Pk D B
@ 0
0

0 t
1 0
0 1
0 0

1
0
t C
Cm
0 A k
1

0 t
1 0
0 1
0 0

1
0
t C
CP
0 A k
1

q1c t 3
B 3

B 0
CB
B q1c t 2
@ 2
0

0
q2c t 3
3

0
q2c

t
2

0
1

1
B 0
B
@ 0
0

q1c t 2
2

q1c

0
t
0

0 t
1 0
0 1
0 0
1

q2c t 2 C
C
2 C:

C
0 A
q2c t

1T
0
t C
C
0 A
1

4.3 Kalman filter

2
True Trajectory
Measurements
Filter Estimate

0
2

4
6
8
10
12
4

4
x1

Figure 4.5 Simulated trajectory, measurements, and the result of

the Kalman filter based car tracking in Example 4.3. The starting
point is at the top of the trajectory. The RMSE position error
based on the measurements only is 0:77 whereas the position
RMSE of the Kalman filter estimate is 0:43.

The corresponding Kalman filter update step is

T 2

1 0 0 0
1 0 0 0
C 1
Sk D
Pk
0
0 1 0 0
0 1 0 0

T
1 0 0 0
Kk D Pk
Sk 1 ;
0 1 0 0

1 0 0 0
mk D mk C Kk yk
mk ;
0 1 0 0
Pk D Pk

0
;
22

Kk Sk KTk :

The result of applying this filter to simulated data is shown in Figure 4.5.
The parameter values used in the simulation were 1 D 2 D 1=2, q1c D
q2c D 1, and t D 1=10.
Although the Kalman filter can be seen as the closed form Bayesian
solution to the linear Gaussian filtering problem, the original derivation of
Kalman (1960b) is based on a different principle. In his seminal article,
Kalman (1960b) derived the filter by considering orthogonal projections
on the linear manifold spanned by the measurements. A similar approach

Bayesian filtering equations and exact solutions

is also employed in many other works concentrating on estimation in linear

systems such as in the book of Kailath et al. (2000). The advantage of
the approach is that it avoids explicit Gaussian assumptions in the noise
processes, as the Kalman filter can be seen as a more general best linear
unbiased estimator of the state. The disadvantage is that the route to nonlinear models is much less straightforward than in the present Bayesian
approach.

4.4 Exercises
4.1

Derive the Kalman filter equations for the following linear-Gaussian filtering
model with non-zero-mean noises:
xk D A xk

C qk

yk D H xk C rk ;
4.2

4.3

4.4

4.5

4.6

(4.34)

where qk 1 N.mq ; Q/ and rk N.mr ; R/.

Write down the Bayesian filtering equations for finite-state hidden Markov
models (HMM), that is, for models where the state only takes values from a
finite set xk 2 f1; : : : ; Nx g.
Implement the Kalman filter in Example 4.2 for the Gaussian random walk
R
model with MATLAB
. Draw realizations of state and measurement sequences and apply the filter to it. Plot the evolution of the filtering distribution.
Select a finite interval in the state space, say, x 2 10; 10 and discretize
it evenly to N subintervals (e.g. N D 1000). Using a suitable numerical
approximation to the integrals in the Bayesian filtering equations, implement
a finite grid approximation to the Bayesian filter for the Gaussian random
walk in Example 4.1. Verify that the result is practically the same as that of
the Kalman filter above.
Derive the stationary Kalman filter for the Gaussian random walk model.
That is, compute the limiting Kalman filter gain when k ! 1 and write
down the mean equation of the resulting constant-gain Kalman filter. Plot
the frequency response of the resulting time-invariant filter. Which type of
digital filter is it?
Consider the following dynamic model:
!
sin.!/
cos !
!
xk 1 C qk 1 ;
xk D
! sin.!/ cos.!/

yk D 1 0 xk C rk ;

Exercises

where xk 2 R2 is the state, yk is the measurement, rk N.0; 0:1/ is a white

Gaussian measurement noise, and qk N.0; Q/, where
!
2
c
c
c
QD

q ! q cos.!/ sin.!/
2! 3
q c sin2 .!/
2! 2

q sin .!/
2! 2
q !Cq c cos.!/ sin.!/
2!
c

(4.35)

The angular velocity is ! D 1=2 and the spectral density is q c D 0:01.

The model is a discretized version of the noisy resonator model with a given
angular velocity !.
In the file1 kf_ex.m there is simulation of the dynamic model together with
a base line solution, where the measurement is directly used as the estimate
of the state component x1 and the second component x2 is computed as a
weighted average of the measurement differences.
(a) Implement the Kalman filter for the model and compare its performance
(in the RMSE sense) to the base line solution. Plot figures of the solutions.
(b) Compute (numerically) the stationary Kalman filter corresponding to
the model. Test this stationary filter against the base line and Kalman
filter solutions. Plot the results and report the RMSE values for the
solutions. What is the practical difference in the stationary and nonstationary Kalman filter solutions?
1

R
The MATLAB
files are available on this books web page

www.cambridge.org/sarkka/

5
Extended and unscented Kalman filtering

It often happens in practical applications that the dynamic and measurement models are not linear and the Kalman filter is not appropriate. However, often the filtering distributions of this kind of model can be approximated by Gaussian distributions. In this chapter, three types of method
for forming the Gaussian approximations are considered, the Taylor series
based extended Kalman filters (EKF), the statistical linearization based statistically linearized filters (SLF), and the unscented transform based unscented Kalman filters (UKF). Among these, the UKF differs from the
other filters in this section in the sense that it is not a series expansion
based method per se even though it was originally justified by considering a series expansion of the non-linear function. Actually, the relationship
is even closer than that, because the UKF can be considered as an approximation of the SLF and it converges to the EKF in a suitable parameter
limit.

5.1 Taylor series expansions

Consider the following transformation of a Gaussian random variable x
into another random variable y:
x N.m; P /;
y D g.x/;

(5.1)

where x 2 Rn , y 2 Rm , and g W Rn ! Rm is a general non-linear function.

Formally, the probability density of the random variable y is1 (see, e.g.,
Gelman et al., 2004)
p.y/ D jJ .y/j N.g 1 .y/ j m; P /;
1

This actually only applies to invertible g./, but it can easily be generalized to the
non-invertible case.

(5.2)

5.1 Taylor series expansions

where jJ .y/j is the determinant of the Jacobian matrix of the inverse transform g 1 .y/. However, it is not generally possible to handle this distribution directly, because it is non-Gaussian for all but linear g.
A first order Taylor series based Gaussian approximation to the distribution of y can now be formed as follows. If we let x D m C x, where
x N.0; P /, we can form the Taylor series expansion of the function g./
as follows (provided that the function is sufficiently differentiable):
X1
.i /
xT Gxx
.m/ x ei C ;
g.x/ D g.mCx/ g.m/CGx .m/ xC
2
i
(5.3)
where Gx .m/ is the Jacobian matrix of g with elements

@gj .x/
Gx .m/j;j 0 D
;
(5.4)

@xj 0
xDm

and

.i /
.m/
Gxx

is the Hessian matrix of gi ./ evaluated at m:

h
i
@2 gi .x/
.i /
Gxx .m/ 0 D
:

j;j
@xj @xj 0

(5.5)

xDm

Furthermore, ei D .0 0 1 0 0/ is a vector with 1 at position i and

all other elements zero, that is, it is the unit vector in the direction of the
coordinate axis i.
The linear approximation can be obtained by approximating the function
by the first two terms in the Taylor series:
g.x/ ' g.m/ C Gx .m/ x:

(5.6)

Computing the expected value with respect to x gives:

Eg.x/ ' Eg.m/ C Gx .m/ x
D g.m/ C Gx .m/ Ex
D g.m/:

(5.7)

Extended and unscented Kalman filtering

The covariance can then be approximated as

h
i
E .g.x/ Eg.x// .g.x/ Eg.x//T
h
i
' E .g.x/ g.m// .g.x/ g.m//T
h
' E .g.m/ C Gx .m/ x g.m// .g.m/ C Gx .m/ x
h
i
D E .Gx .m/ x/ .Gx .m/ x/T

D Gx .m/ E x xT GxT .m/

g.m//T

D Gx .m/ P GxT .m/:

(5.8)
We often are also interested in the the joint covariance between the variables x and y. Approximation of the joint covariance can be achieved by
considering the augmented transformation

x
Q
:
(5.9)
g.x/
D
g.x/
The resulting mean and covariance are

m
Q
Eg.x/
'
;
g.m/

T
I
I
Q
Covg.x/
'
P
Gx .m/
Gx .m/

P
P GxT .m/
:
D
Gx .m/ P Gx .m/ P GxT .m/

(5.10)

In the derivation of the extended Kalman filter equations, we need a slightly

more general transformation of the form
x N.m; P /;
q N.0; Q/;
y D g.x/ C q;

(5.11)

where q is independent of x. The joint distribution of x and y, as defined

above, is now the same as in Equations (5.10) except that the covariance Q
Q
is added to the lower right block of the covariance matrix of g./.
Thus we
get the following algorithm.

5.1 Taylor series expansions

Algorithm 5.1 (Linear approximation of an additive transform) The linear approximation based Gaussian approximation to the joint distribution of x and the transformed random variable y D g.x/ C q, where
x N.m; P / and q N.0; Q/, is given as

P CL
x
m
;
(5.12)
;
N
CLT SL
y
L
where
L D g.m/;
SL D Gx .m/ P GxT .m/ C Q;
CL D P GxT .m/;

(5.13)

and Gx .m/ is the Jacobian matrix of g with respect to x, evaluated at

x D m, with elements

@gj .x/
Gx .m/j;j 0 D
:
(5.14)

@xj 0
xDm

In filtering models where the process noise is not additive, we often need
to approximate transformations of the form
x N.m; P /;
q N.0; Q/;
y D g.x; q/;

(5.15)

where x and q are independent random variables. The mean and covariance
can now be computed by substituting the augmented vector .x; q/ for the
vector x in Equation (5.10). The joint Jacobian matrix can then be written
as Gx;q D .Gx Gq /. Here Gq is the Jacobian matrix of g./ with respect
to q and both Jacobian matrices are evaluated at x D m; q D 0. The
approximations to the mean and covariance of the augmented transform as
in Equation (5.10) are then given as
Q
Eg.x;
q/ ' g.m; 0/;

T
I
0
P 0
I
0
Q
Covg.x;
q/ '
Gx .m/ Gq .m/
0 Q
Gx .m/ Gq .m/

T
P
P Gx .m/
D
:
Gx .m/ P Gx .m/ P GxT .m/ C Gq .m/ Q GqT .m/
(5.16)
The approximation above can be formulated as the following algorithm.

Extended and unscented Kalman filtering

Algorithm 5.2 (Linear approximation of a non-additive transform) The

linear approximation based Gaussian approximation to the joint distribution of x and the transformed random variable y D g.x; q/ when x
N.m; P / and q N.0; Q/ is given as

P CL
x
m
;
(5.17)
;
N
CLT SL
y
L
where
L D g.m/;
SL D Gx .m/ P GxT .m/ C Gq .m/ Q GqT .m/;
CL D P GxT .m/;

(5.18)

Gx .m/ is the Jacobian matrix of g with respect to x, evaluated at x D

m; q D 0, with elements

@gj .x; q/
Gx .m/j;j 0 D
;
(5.19)

@xj 0
xDm; qD0

and Gq .m/ is the corresponding Jacobian matrix with respect to q:

@gj .x; q/
Gq .m/ j;j 0 D
:
(5.20)

@qj 0
xDm; qD0

In quadratic approximations, in addition to the first order terms, the second order terms in the Taylor series expansion of the non-linear function
are also retained.
Algorithm 5.3 (Quadratic approximation of an additive non-linear transform) The second order approximation is of the form

P CQ
x
m
;
;
(5.21)
N
CQT SQ
y
Q
where the parameters are
n
o
1X
.i /
Q D g.m/ C
ei tr Gxx
.m/ P ;
2 i
o
n
1X
.i /
.i 0 /
SQ D Gx .m/ P GxT .m/ C
ei eTi 0 tr Gxx
.m/ P Gxx
.m/ P ;
2 i;i 0
CQ D P GxT .m/;
(5.22)

5.2 Extended Kalman filter

.i /
Gx .m/ is the Jacobian matrix (5.14), and Gxx
.m/ is the Hessian matrix
of gi ./ evaluated at m:

h
i
2
@
g
.x/

i
.i /
;
(5.23)
Gxx
.m/ 0 D

j;j
@xj @xj 0
xDm

where ei D .0 0 1 0 0/ is a vector with 1 at position i and other

elements zero, that is, it is the unit vector in the direction of the coordinate
axis i.

5.2 Extended Kalman filter

The extended Kalman filter (EKF) (see, e.g., Jazwinski, 1970; Maybeck,
1982b; Bar-Shalom et al., 2001; Grewal and Andrews, 2001) is an extension of the Kalman filter to non-linear filtering problems. If the process and
measurement noises can be assumed to be additive, the EKF model can be
written as
xk D f .xk

C qk

yk D h.xk / C rk ;

(5.24)

where xk 2 Rn is the state, yk 2 Rm is the measurement, qk 1

N.0; Qk 1 / is the Gaussian process noise, rk N.0; Rk / is the Gaussian
measurement noise, f ./ is the dynamic model function, and h./ is the
measurement model function. The functions f and h can also depend on
the step number k, but for notational convenience, this dependence has not
been explicitly denoted.
The idea of the extended Kalman filter is to use (or assume) Gaussian
approximations
p.xk j y1Wk / ' N.xk j mk ; Pk /

(5.25)

to the filtering densities. In the EKF, these approximations are formed by

utilizing Taylor series approximations to the non-linearities and the result
is the following algorithm.
Algorithm 5.4 (Extended Kalman filter I) The prediction and update
steps of the first order additive noise extended Kalman filter (EKF) are:
Prediction:
mk D f .mk

1 /;

Pk D Fx .mk

1 / Pk 1

FxT .mk

C Qk

(5.26)

Extended and unscented Kalman filtering

Update:
vk D yk

h.mk /;

Sk D Hx .mk / Pk HTx .mk / C Rk ;

Kk D Pk HTx .mk / Sk 1 ;
mk D mk C Kk vk ;
Pk D Pk

Kk Sk KTk :

(5.27)

Derivation These filtering equations can be derived by repeating the

same steps as in the derivation of the Kalman filter in Section 4.3 and by
applying Taylor series approximations on the appropriate steps.
1 The joint distribution of xk and xk 1 is non-Gaussian, but we can form
a Gaussian approximation to it by applying the approximation Algorithm 5.1 to the function
f .xk

C qk

which results in the Gaussian approximation

xk 1
p.xk 1 ; xk ; j y1Wk 1 / ' N
xk

(5.28)

0 0
m
;
P
;

(5.29)

where

mk 1
m D
;
f .mk 1 /

Pk 1
Pk 1 FxT
P0 D
Fx Pk 1 Fx Pk 1 FxT C Qk
0

;

(5.30)

and the Jacobian matrix Fx of f .x/ is evaluated at x D mk 1 . The

approximations of the marginal mean and covariance of xk are thus
mk D f .mk

1 /;

Pk D Fx Pk

FxT C Qk

(5.31)

2 The joint distribution of yk and xk is also non-Gaussian, but we can

again approximate it by applying Algorithm 5.1 to the function
h.xk / C rk :

(5.32)

We get the approximation

p.xk ; yk j y1Wk

1/ ' N

xk
yk

00 00
m
;
P
;

(5.33)

5.2 Extended Kalman filter

where
m00 D

mk
;
h.mk /

P 00 D

Pk
Hx Pk

Pk HTx
; (5.34)
Hx Pk HTx C Rk

and the Jacobian matrix Hx of h.x/ is evaluated at x D mk .

3 By Lemma A.2 the conditional distribution of xk is approximately
p.xk j yk ; y1Wk

' N.xk j mk ; Pk /;

(5.35)

where
1

mk D mk C Pk HTx .Hx Pk HTx C Rk /

Pk D Pk

Pk HTx

.Hx Pk HTx

C Rk /

h.mk /;

Hx Pk :

(5.36)

A more general non-additive noise EKF filtering model can be written

as
xk D f .xk

1 ; qk 1 /;

yk D h.xk ; rk /;

(5.37)

where qk 1 N.0; Qk 1 / and rk N.0; Rk / are the Gaussian process

and measurement noises, respectively. Again, the functions f and h can
also depend on the step number k. The EKF algorithm for the above model
is the following.
Algorithm 5.5 (Extended Kalman filter II) The prediction and update
steps of the (first order) extended Kalman filter (EKF) in the non-additive
noise case are:
Prediction:
mk D f .mk

1 ; 0/;

Pk D Fx .mk

1 / Pk 1

FxT .mk

C Fq .mk

1 / Qk 1

FqT .mk

1 /;

(5.38)
Update:
vk D y k

h.mk ; 0/;

Sk D Hx .mk / Pk HTx .mk / C Hr .mk / Rk HTr .mk /;

Kk D Pk HTx .mk / Sk 1 ;
mk D mk C Kk vk ;
Pk D Pk

Kk Sk KTk ;

(5.39)

Extended and unscented Kalman filtering

where the matrices Fx .m/, Fq .m/, Hx .m/, and Hr .m/ are the Jacobian
matrices of f and h with respect to state and noise, with elements

@fj .x; q/
Fx .m/j;j 0 D
;
(5.40)

@xj 0
xDm; qD0

@fj .x; q/
Fq .m/ j;j 0 D
;
(5.41)

@qj 0
xDm; qD0

@hj .x; r/
Hx .m/j;j 0 D
;
(5.42)

@xj 0
xDm; rD0
@hj .x; r/
Hr .m/j;j 0 D
:
(5.43)

@rj 0
xDm; rD0

Derivation These filtering equations can be derived by repeating the

same steps as in the derivation of the extended Kalman filter above, but
instead of using Algorithm 5.1, we use Algorithm 5.2 for computing the
approximations.
The advantage of the EKF over other non-linear filtering methods is its
relative simplicity compared to its performance. Linearization is a very
common engineering way of constructing approximations to non-linear
systems and thus it is very easy to understand and apply. A disadvantage is that because it is based on a local linear approximation, it will not
work in problems with considerable non-linearities. The filtering model is
also restricted in the sense that only Gaussian noise processes are allowed
and thus the model cannot contain, for example, discrete valued random
variables. The Gaussian restriction also prevents the handling of hierarchical models or other models where significantly non-Gaussian distribution
models would be needed.
The EKF also requires the measurement model and the dynamic
model functions to be differentiable, which is a restriction. In some cases
it might also be simply impossible to compute the required Jacobian
matrices, which renders the use of the EKF impossible. Even when the
Jacobian matrices exist and could be computed, the actual computation
and programming of Jacobian matrices can be quite error prone and hard
to debug.
In the so-called second order EKF the non-linearity is approximated
by retaining the second order terms in the Taylor series expansion as in
Algorithm 5.3. The resulting algorithm is the following.

5.2 Extended Kalman filter

Algorithm 5.6 (Extended Kalman filter III) The prediction and update
steps of the second order extended Kalman filter (in the additive noise case)
are:
Prediction:
mk D f .mk

1/ C

n
1X
.i /
ei tr Fxx
.mk
2 i

Pk D Fx .mk 1 / Pk 1 FxT .mk 1 /

n
1X
.i /
C
ei eTi 0 tr Fxx
.mk 1 /Pk
2 i;i 0

1 / Pk

o
1

.i 0 /
1 Fxx .mk 1 /Pk 1

C Qk

(5.44)
Update:
vk D y k

h.mk /

o
n
1X
ei tr H.ixx/ .mk / Pk ;
2 i

Sk D Hx .mk / Pk HTx .mk /

n
o
1X
0
ei eTi 0 tr H.ixx/ .mk / Pk H.ixx/ .mk / Pk C Rk ;
C
2 i;i 0
Kk D Pk HTx .mk / Sk 1 ;
mk D mk C Kk vk ;
Pk D Pk

Kk Sk KTk ;

(5.45)

where the matrices Fx .m/ and Hx .m/ are given by Equations (5.40) and
.i /
(5.42). The matrices Fxx
.m/ and H.ixx/ .m/ are the Hessian matrices of fi
and hi respectively:

h
i
@2 fi .x/
.i /
Fxx .m/ 0 D
;
(5.46)

j;j
@xj @xj 0
xDm

h
i
2
@
h
.x/

i
H.ixx/ .m/ 0 D
:
(5.47)

j;j
@xj @xj 0
xDm

The non-additive version can be derived in an analogous manner, but

due to its complicated appearance, it is not presented here.

Extended and unscented Kalman filtering

5
True Angle
Measurements
EKF Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 5.1 Simulated pendulum data and the result of tracking

the pendulum angle and angular rate with the EKF in Example
5.1. The resulting RMSE was 0:12.

Example 5.1 (Pendulum tracking with EKF) A simple discretization of

the pendulum model in Example 3.7 leads to the following model:

x1;k
x1;k 1 C x2;k 1 t
D
Cqk 1 ;
x2;k 1 g sin.x1;k 1 / t
x2;k

f .xk

yk D sin.x1;k / Crk ;

(5.48)

h.xk /

where qk

N.0; Q/ and rk N.0; R/ with

!
c
3
c
2
QD

q t
3
q c t 2
2

q t
2
c

q t

(5.49)

and q c is the spectral density of the continuous-time process noise. The

required Jacobian matrices of f .x/ and h.x/ for the first order EKF are:

1
t
Fx .x/ D
;
Hx .x/ D cos.x1 / 0 : (5.50)
g cos.x1 / t 1
An example result of applying the EKF to simulated data from the pendulum model is shown in Figure 5.1. The EKF is indeed able to track the pendulum angle quite well despite the non-linearity of the model. The RMSE

5.3 Statistical linearization

in the angle is 0:12 which is much lower than the standard deviation of the
measurement noise which was 0:32.

5.3 Statistical linearization

In the statistically linearized filter (Gelb, 1974) the first order Taylor series approximation used in the first order EKF is replaced by statistical
linearization. Recall the transformation problem considered in Section 5.1,
which was stated as
x N.m; P /;
y D g.x/:
In statistical linearization we form a linear approximation to the transformation as follows:
g.x/ ' b C A x;
where x D x

(5.51)

m, such that the mean squared error is minimized:

MSE.b; A/ D E.g.x/

A x/T .g.x/

A x/:

(5.52)

Setting the derivatives with respect to b and A to zero gives

b D Eg.x/;
A D Eg.x/ xT P

(5.53)

In this approximation to the transform g.x/, b is now exactly the mean and
the approximate covariance is given as
E.g.x/

Eg.x// .g.x/

Eg.x//T

' A P AT
D Eg.x/ xT P

Eg.x/ xT T :

(5.54)

Q
We may now apply this approximation to the augmented function g.x/
D
.x; g.x// in Equation (5.9) of Section 5.1, where we get the approximations

m
Q
Eg.x/
'
;
Eg.x/

P
Eg.x/ xT T
Q
Covg.x/
'
: (5.55)
Eg.x/ xT Eg.x/ xT P 1 Eg.x/ xT T
Thus we get the following algorithm.

Extended and unscented Kalman filtering

Algorithm 5.7 (Statistically linearized approximation of an additive transform) The statistical linearization based Gaussian approximation to the
joint distribution of x and the transformed random variable y D g.x/ C q,
where x N.m; P / and q N.0; Q/, is given as

x
m
P CS
N
;
;
(5.56)
CST SS
y
S
where
S D Eg.x/;
SS D Eg.x/ xT P

Eg.x/ xT T C Q;

CS D Eg.x/ xT T :

(5.57)

The expectations are taken with respect to the distribution of x.

Applying the same approximation with .x; q/ in place of x we obtain
the following mean and covariance for the non-additive transform:

m
Q
Eg.x;
q/ '
;
Eg.x; q/
0
1
P
Eg.x; q/ xT T
Q
Covg.x;
q/ ' @Eg.x; q/ xT Eg.x; q/ xT P 1 Eg.x; q/ xT T A :
C Eg.x; q/ qT Q 1 Eg.x; q/ qT T
(5.58)
Thus we get the following algorithm for the non-additive transform.
Algorithm 5.8 (Statistically linearized approximation of a non-additive
transform) The statistical linearization based Gaussian approximation
to the joint distribution of x and the transformed random variable y D
g.x; q/ when x N.m; P / and q N.0; Q/ is given as

x
m
P CS
;
;
(5.59)
N
y
S
CST SS
where
S D Eg.x; q/;
1

SS D Eg.x; q/ xT P
C Eg.x; q/ qT Q

Eg.x; q/ xT T

Eg.x; q/ qT T ;

CS D Eg.x; q/ xT T :
The expectations are taken with respect to the variables x and q.

(5.60)

5.4 Statistically linearized filter

If the function g.x/ is differentiable, it is possible to use the following well-known property of Gaussian random variables for simplifying the
expressions:
Eg.x/ .x

m/T D EGx .x/ P ;

(5.61)

where E denotes the expected value with respect to x N.m; P /, and

Gx .x/ is the Jacobian matrix of g.x/. The statistical linearization equations then reduce to the same form as Taylor series based linearization,
except that instead of the Jacobians we have the expected values of the
Jacobians (see the exercises). Algorithm 5.7 can be then written in the following form.
Algorithm 5.9 (Statistically linearized approximation of an additive
transform II) The statistical linearization based Gaussian approximation
to the joint distribution of x and the transformed random variable
y D g.x/ C q, where x N.m; P / and q N.0; Q/, can be written as

x
m
P CS
N
;
;
(5.62)
y
S
CST SS
where
S D Eg.x/;
SS D EGx .x/ P EGx .x/T C Q;
CS D P EGx .x/T ;

(5.63)

and Gx .x/ is the Jacobian matrix of g. The expectations are taken with
respect to the distribution of x.
Note that we actually only need to compute the expectation Eg.x/,
because if we know the function
S .m/ D Eg.x/;

(5.64)

where E denotes the expected value with respect to N.x j m; P /, then

@S .m/
D EGx .x/:
@m

(5.65)

5.4 Statistically linearized filter

The statistically linearized filter (SLF) (Gelb, 1974) or quasi-linear filter
(Stengel, 1994) is a Gaussian approximation based filter which can be applied to the same kind of models as the EKF, that is, to models of the form

Extended and unscented Kalman filtering

(5.24) or (5.37). The filter is similar to the EKF, except that statistical linearizations in Algorithms 5.7, 5.8, and 5.9 are used instead of the Taylor
series approximations.
Algorithm 5.10 (Statistically linearized filter I) The prediction and update steps of the additive noise statistically linearized (Kalman) filter are:
Prediction:
mk D Ef .xk

1 /;

Pk D Ef .xk

T
1
1 / xk 1 Pk 1

Ef .xk

T
T
1 / xk 1

C Qk

(5.66)

where xk 1 D xk 1 mk 1 and the expectations are taken with respect

to the variable xk 1 N.mk 1 ; Pk 1 /,
Update:
vk D yk

Eh.xk /;

Q Tk .Pk /
Sk D Eh.xk / x

Q Tk T C Rk ;
Eh.xk / x

Q Tk T Sk 1 ;
Kk D Eh.xk / x
mk D mk C Kk vk ;
Kk Sk KTk ;

Pk D Pk

(5.67)

Q k D xk mk and the expectations are taken with respect to

where x
the variable xk N.mk ; Pk /.
The above filter can also be rewritten using the expectations of Jacobians
by using Algorithm 5.9 instead of 5.7 (see the exercises).
Algorithm 5.11 (Statistically linearized filter II) The prediction and update steps of the non-additive statistically linearized (Kalman) filter are:
Prediction:
mk D Ef .xk

1 ; qk 1 /;

T
1
T
T
1 ; qk 1 / xk 1 Pk 1 Ef .xk 1 ; qk 1 / xk 1
Ef .xk 1 ; qk 1 / qTk 1 Qk 1 1 Ef .xk 1 ; qk 1 / qTk 1 T ;

Pk D Ef .xk
C

(5.68)
where xk 1 D xk
to the variables xk

1
1

mk 1 and the expectations are taken with respect

N.mk 1 ; Pk 1 / and qk 1 N.0; Qk 1 /,

5.4 Statistically linearized filter

5
True Angle
Measurements
SLF Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 5.2 Simulated pendulum data and the result of tracking

the pendulum angle and angular rate with the SLF in Example
5.2. The resulting RMSE was 0:11 which is slightly lower than
the error of EKF (Figure 5.1), but still practically the same.

Update:
vk D y k

Eh.xk ; rk /;

Q Tk .Pk /
Sk D Eh.xk ; rk / x

Q Tk T
Eh.xk ; rk / x

C Eh.xk ; rk / rkT Rk 1 Eh.xk ; rk / rkT T ;

Q Tk T Sk 1 ;
Kk D Eh.xk ; rk / x
mk D mk C Kk vk ;
Pk D Pk

Kk Sk KTk ;

(5.69)

Q k D xk mk and the expectations are taken with respect to

where x
the variables xk N.mk ; Pk / and rk N.0; Rk /.
Both of the filters above can be derived by following the derivation of
the EKF in Section 5.2 and by utilizing the statistical linearization approximations instead of the linear approximations on the appropriate steps.
Example 5.2 (Pendulum tracking with SLF) The expectations of f and
h which are required for implementation of the additive noise SLF for the

Extended and unscented Kalman filtering

pendulum model in Example 5.2 can be computed as follows:

m1 C m2 t
Ef .x/ D
;
m2 g sin.m1 / exp. P11 =2/ t
Eh.x/ D sin.m1 / exp. P11 =2/:

(5.70)

The required cross-correlation terms are

Ef .x/ .x

c11 c12
;
m/ D
c21 c22
T

(5.71)

where
c11 D P11 C t P12 ;
c12 D P12 C t P22 ;
c21 D P12

g t cos.m1 / P11 exp. P11 =2/;

c22 D P22

g t cos.m1 / P12 exp. P11 =2/;

(5.72)

cos.m1 / P11 exp. P11 =2/
:
cos.m1 / P12 exp. P11 =2/

(5.73)

and
Eh.x/ .x

m/T D

The above computations reveal the main weakness of statistical linearization based filtering there is no hope of computing the above expectations
when the functions are complicated. In this case we were lucky, because
the only non-linearities in the dynamic and measurement models were sinusoidal, for which the closed form expectations can be computed.
The result of applying the SLF to the same simulated pendulum data as
was used with the EKF in Figure 5.1 is shown in Figure 5.2. The result of
the SLF is practically the same as that of the EKF. However, the RMSE of
the SLF is slightly lower than that of the EKF.
The advantage of the SLF over the EKF is that it is a more global approximation than the EKF, because the linearization is not only based on
the local region around the mean but on a whole range of function values. The non-linearities also do not have to be differentiable. However, if
the non-linearities are differentiable, then we can use the Gaussian random
variable property (5.61) for rewriting the equations in an EKF-like form.
The clear disadvantage of the SLF over the EKF is that the expected values
of the non-linear functions have to be computed in closed form. Naturally,
it is not possible for all functions. Fortunately, the expected values involved
are of such a type that one is likely to find many of them tabulated in older

5.5 Unscented transform

physics and control engineering books (see, e.g., Gelb and Vander Velde,
1968).
The statistically linearized filter (SLF) is a special case of the Fourier
Hermite Kalman filter (FHKF), when the first order truncation of the series
is used (Sarmavuori and Sarkka, 2012a). Many of the sigma-point methods
can also be interpreted as approximations to the FourierHermite Kalman
filters and statistically linearized filters (see Van der Merwe and Wan, 2003;
Sarkka and Hartikainen, 2010b; Sarmavuori and Sarkka, 2012a).

5.5 Unscented transform

The unscented transform (UT) (Julier and Uhlmann, 1995; Julier et al.,
2000) is a relatively recent numerical method that can also be used for
approximating the joint distribution of random variables x and y defined
as
x N.m; P /;
y D g.x/:
However, the philosophy of the UT differs from linearization and statistical
linearization in the sense that it tries to directly approximate the mean and
covariance of the target distribution instead of trying to approximate the
non-linear function (Julier and Uhlmann, 1995).
The idea of the UT is to deterministically choose a fixed number of
sigma points that capture the mean and covariance of the original distribution of x exactly. These sigma points are then propagated through the
non-linearity, and the mean and covariance of the transformed variable are
estimated from them. Note that although the unscented transform resembles Monte Carlo estimation, the approaches are significantly different, because in the UT the sigma points are selected deterministically (Julier and
Uhlmann, 2004). The difference between linear approximation and the UT
is illustrated in Figures 5.3, 5.4, and 5.5.
The unscented transform forms the Gaussian approximation2 with the
following procedure.
2

Note that this Gaussianity assumption is one interpretation, but the unscented transform
can also be applied without the Gaussian assumption. However, because the assumption
makes Bayesian interpretation of the UT much easier, we shall use it here.

Extended and unscented Kalman filtering

82
4

4
5

2
0

(a) Original

(b) Transformed

Figure 5.3 Example of applying a non-linear transformation to a

random variable on the left, which results in the random variable
on the right.
4

4
5

2
0

(a) Original

(b) Transformed

Figure 5.4 Illustration of the linearization based (EKF)

approximation to the transformation in Figure 5.3. The Gaussian
approximation is formed by calculating the curvature at the mean,
which results in a bad approximation further away from the mean.
The covariance of the true distribution is presented by the dashed
line and the solid line is the approximation.

1 Form a set of 2n C 1 sigma points as follows:

X .0/ D m;
X .i / D m C
X .i Cn/ D m

hp i
p
nC
P ;
hp i i
p
nC
P ;
i

i D 1; : : : ; n;

(5.74)

5.5 Unscented transform

4
5

2
0

(a) Original

(b) Transformed

Figure 5.5 Illustration of the unscented transform based (UKF)

approximation to the transformation in Figure 5.3. The Gaussian
approximation is formed by propagating the sigma points through
the non-linearity and the mean and covariance are estimated from
the transformed sigma points. The covariance of the true
distribution is presented by the dashed line and the solid line is
the approximation.

where i denotes the ith column of the matrix, and is a scaling parameter, which is defined in terms of algorithm parameters and as
follows:
D 2 .n C /

(5.75)

The parameters and determine the spread of the sigma points around
the mean (Wan and Van der Merwe, 2001). The matrix square root dep p T
notes a matrix such that P P D P .
2 Propagate the sigma points through the non-linear function g./:

Y .i / D g.X .i / /;

i D 0; : : : ; 2n;

which results in the transformed sigma points Y .i / .

3 Estimates of the mean and covariance of the transformed variable can be
computed from the sigma points as follows:
Eg.x/ ' U D

2n
X

Wi.m/ Y .i / ;

i D0

Covg.x/ ' SU D

2n
X
iD0

Wi.c/ .Y .i /

U / .Y .i /

U /T ;

(5.76)

Extended and unscented Kalman filtering

where the constant weights Wi.m/ and Wi.c/ are given as follows (Wan
and Van der Merwe, 2001):

;
nC

D
C .1 2 C /;
nC
1
D
; i D 1; : : : ; 2n;
2.n C /
1
D
; i D 1; : : : ; 2n;
2.n C /

W0.m/ D
W0.c/
Wi.m/
Wi.c/

(5.77)

and is an additional algorithm parameter that can be used for incorporating prior information on the (non-Gaussian) distribution of x (Wan
and Van der Merwe, 2001).
Q
If we apply the unscented transform to the augmented function g.x/
D
.x; g.x//, we simply get a set of sigma points, where the sigma points X .i /
and Y .i / have been concatenated to the same vector. Thus, also forming the
approximation to the joint distribution x and g.x/ C q is straightforward
and the result is the following algorithm.
Algorithm 5.12 (Unscented approximation of an additive transform) The
unscented transform based Gaussian approximation to the joint distribution of x and the transformed random variable y D g.x/ C q, where
x N.m; P / and q N.0; Q/, is given as

x
m
P CU
N
;
;
(5.78)
y
U
CUT SU
where the submatrices can be computed as follows.
1 Form the set of 2n C 1 sigma points as follows:

X .0/ D m;
X .i / D m C
X .i Cn/ D m

hp i
p
nC
P ;
hp i i
p
nC
P ;
i

i D 1; : : : ; n;

where the parameter is defined in Equation (5.75).

2 Propagate the sigma points through the non-linear function g./:

Y .i / D g.X .i / /;

i D 0; : : : ; 2n:

(5.79)

5.5 Unscented transform

3 The submatrices are then given as:

U D

2n
X

Wi.m/ Y .i / ;

iD0

SU D

2n
X

Wi.c/ .Y .i /

U / .Y .i /

U /T C Q;

Wi.c/ .X .i /

m/ .Y .i /

U /T ;

i D0

CU D

2n
X

(5.80)

i D0

where the constant weights Wi.m/ and Wi.c/ were defined in Equation (5.77).
The unscented transform approximation to a transformation of the form
y D g.x; q/ can be derived by considering the augmented random variable
Q D .x; q/ as the random variable in the transform. The resulting algorithm
x
is the following.
Algorithm 5.13 (Unscented approximation of a non-additive transform)
The (augmented) unscented transform based Gaussian approximation
to the joint distribution of x and the transformed random variable
y D g.x; q/ when x N.m; P / and q N.0; Q/ is given as

x
m
P CU
N
;
;
(5.81)
y
U
CUT SU
where the sub-matrices can be computed as follows. Let the dimensionalities of x and q be n and nq , respectively, and let n0 D n C nq .
Q D .x; q/:
1 Form the sigma points for the augmented random variable x
Q
XQ .0/ D m;
Q C
XQ .i / D m
0
Q
XQ .i Cn / D m

hp i
PQ ;
hp i i
p
0
0
n C
PQ ;
p

n0 C 0

i D 1; : : : ; n0 ;

(5.82)

where the parameter 0 is defined as in Equation (5.75), but with n

replaced by n0 , and the augmented mean and covariance are defined
by

m
P 0
Q D
m
;
PQ D
:
0
0 Q

Extended and unscented Kalman filtering

2 Propagate the sigma points through the function:

YQ .i / D g.XQ .i /;x ; XQ .i /;q /; i D 0; : : : ; 2n0 ;

where XQ .i /;x and XQ .i /;q denote the parts of the augmented sigma point
i which correspond to x and q, respectively.
3 Compute the predicted mean U , the predicted covariance SU , and the
cross-covariance CU :
0

U D

2n
X

0
Wi.m/ YQ .i / ;

i D0
0

SU D

2n
X

0
Wi.c/ .YQ .i /

U / .YQ .i /

U /T ;

i D0
0

CU D

2n
X

0
Wi.c/ .XQ .i /;x

m/ .YQ .i /

U /T ;

i D0
0

where the definitions of the weights Wi.m/ and Wi.c/ are the same as in
Equation (5.77), but with n replaced by n0 and replaced by 0 .
The unscented transform is a third order method in the sense that the
estimate of the mean of g./ is exact for polynomials up to order three.
That is, if g./ is indeed a multi-variate polynomial of order three, the
mean is exact. However, the covariance approximation is exact only for
first order polynomials, because the square of a second order polynomial is
already a polynomial of order four, and the unscented transform (UT) does
not compute the exact result for fourth order polynomials. In this sense
the UT is only a first order method. With suitable selection of parameters
( D 3 n) it is possible to get some of the fourth order terms appearing in
the covariance computation right also for quadratic functions, but not all.

5.6 Unscented Kalman filter

The unscented Kalman filter (UKF) (Julier et al., 1995; Julier and
Uhlmann, 2004; Wan and Van der Merwe, 2001) is an approximate
filtering algorithm that utilizes the unscented transform and can be used
for approximating the filtering distributions of models having the same
form as with the EKF and the SLF, that is, models of the form (5.24) or
(5.37). As the EKF and the SLF, the UKF forms a Gaussian approximation
to the filtering distribution:
p.xk j y1Wk / ' N.xk j mk ; Pk /;

(5.83)

5.6 Unscented Kalman filter

where mk and Pk are the mean and covariance computed by the algorithm.
Algorithm 5.14 (Unscented Kalman filter I) In the additive form of the
unscented Kalman filter (UKF) algorithm, which can be applied to additive
models of the form (5.24), the following operations are performed at each
measurement step k D 1; 2; 3; : : :
Prediction:
1 Form the sigma points:

Xk.0/1 D mk 1 ;
Xk.i /1 D mk
Xk.iCn/
1 D mk

p
1

hp
nC
Pk

ii
i

;
;

i D 1; : : : ; n;

(5.84)

where the parameter is defined in Equation (5.75).

2 Propagate the sigma points through the dynamic model:

XOk.i / D f .Xk.i /1 /;

i D 0; : : : ; 2n:

(5.85)

3 Compute the predicted mean mk and the predicted covariance Pk :

mk D

2n
X

Wi.m/ XOk.i / ;

i D0

Pk D

2n
X

Wi.c/ .XOk.i /

mk / .XOk.i /

m k /T C Q k

(5.86)

i D0

where the weights Wi.m/ and Wi.c/ were defined in Equation (5.77).
Update:
1 Form the sigma points:

Xk .0/ D mk ;
Xk .i / D mk C
Xk .i Cn/ D mk

hq i
p
nC
Pk ;
i
hq
i
p
nC
Pk ;
i

i D 1; : : : ; n:

(5.87)

2 Propagate sigma points through the measurement model:

YO k.i / D h.Xk .i / /;

i D 0; : : : ; 2n:

(5.88)

Extended and unscented Kalman filtering

3 Compute the predicted mean k , the predicted covariance of the measurement Sk , and the cross-covariance of the state and the measurement Ck :
k D

2n
X

Wi.m/ YO k.i / ;

iD0

Sk D

2n
X

Wi.c/ .YO k.i /

k / .YO k.i /

k /T C Rk ;

i D0

Ck D

2n
X

Wi.c/ .Xk .i /

mk / .YO k.i /

k /T :

(5.89)

i D0

4 Compute the filter gain Kk , the filtered state mean mk and the covariance Pk , conditional on the measurement yk :
Kk D Ck Sk 1 ;
mk D mk C Kk yk
Pk D Pk

Kk Sk KTk :

k ;
(5.90)

The filtering equations above can be derived in an analogous manner to

the EKF equations, but the unscented transform based approximations are
used instead of the linear approximations.
The non-additive form of the UKF (Julier and Uhlmann, 2004) can be
derived by augmenting the process and measurement noises to the state
vector and then using the UT approximation for performing prediction and
update steps simultaneously. Alternatively, we can first augment the state
vector with process noise, then approximate the prediction step and after
that do the same with measurement noise on the update step. The different
algorithms and ways of doing this in practice are analyzed in the article
by Wu et al. (2005). However, if we directly apply the non-additive UT
in Algorithm 5.13 separately to prediction and update steps, we get the
following algorithm.
Algorithm 5.15 (Unscented Kalman filter II) In the augmented form of
the unscented Kalman filter (UKF) algorithm, which can be applied to nonadditive models of the form (5.37), the following operations are performed
at each measurement step k D 1; 2; 3; : : :
Prediction:

5.6 Unscented Kalman filter

1 Form the sigma points for the augmented random variable

.xk 1 ; qk 1 /:
Q k 1;
XQk.0/1 D m
Qk
XQk.i /1 D m

1 C

n0 C 0

q
PQ k

;

1
i

0
/
Qk
XQk.iCn
Dm
1

q
p
0
0
n C
PQ k

;

i D 1; : : : ; n0 ; (5.91)

where
Qk
m

mk 1
;
D
0

PQ k

Pk
D
0

0
Qk

:
1

Here n0 D n C nq , where n is the dimensionality of the state xk 1

and nq is the dimensionality of the noise qk 1 . The parameter 0 is
defined as in Equation (5.75), but with n replaced by n0 .
2 Propagate the sigma points through the dynamic model:
Q .i /;q
XOk.i / D f .XQk.i /;x
1 ; Xk 1 /;

i D 0; : : : ; 2n0 ;

(5.92)

Q .i /
Q .i /;q
where XQk.i /;x
1 denotes the first n components in Xk 1 and Xk 1 denotes the last nq components.
3 Compute the predicted mean mk and the predicted covariance Pk :
mk D

2n
X

0
Wi.m/ XOk.i / ;

i D0

Pk D

2n
X

Wi.c/ .XOk.i /

mk / .XOk.i /

mk /T ;

(5.93)

i D0
0

where the weights Wi.m/ and Wi.c/ are the same as in Equation (5.77),
but with n replaced by n0 and by 0 .
Update:
1 Form the sigma points for the augmented random variable .xk ; rk /:
Q k;
XQk .0/ D m
Qk C
XQk .i / D m

n00 C 00

PQ k

;
i

00
XQk .i Cn / D mk

n00

q
PQ k ;
i

i D 1; : : : ; n00 ; (5.94)

Extended and unscented Kalman filtering

where
Qk D
m

mk
;
0

Pk
PQ k D
0

0
:
Rk

Here we have defined n00 D n C nr , where n is the dimensionality

of the state xk and nr is the dimensionality of the noise rk . The parameter 00 is defined as in Equation (5.75), but with n replaced by
n00 .
2 Propagate sigma points through the measurement model:

YO k.i / D h.XQk .i /;x ; XQk .i /;r /;

i D 0; : : : ; 2n00 ;

(5.95)

where XQk .i /;x denotes the first n components in XQk .i / and XQk .i /;r
denotes the last nr components.
3 Compute the predicted mean k , the predicted covariance of the measurement Sk , and the cross-covariance of the state and the measurement Ck :
00

k D

2n
X

00
Wi.m/ YO k.i / ;

iD0
00

Sk D

2n
X

Wi.c/1 .YO k.i /

k / .YO k.i /

k /T ;

iD0
00

Ck D

2n
X

Wi.c/ .Xk .i /;x

mk / .YO k.i /

k /T ;

(5.96)

iD0
00

where the weights Wi.m/ and Wi.c/ are the same as in Equation (5.77), but with n replaced by n00 and by 00 .
4 Compute the filter gain Kk and the filtered state mean mk and covariance Pk , conditional to the measurement yk :
Kk D Ck Sk 1 ;
mk D mk C Kk yk
Pk D Pk

Kk Sk KTk :

k ;
(5.97)

The advantage of the UKF over the EKF is that the UKF is not based on
a linear approximation at a single point, but uses further points in approximating the non-linearity. As discussed in Julier and Uhlmann (2004), the
unscented transform is able to capture the higher order moments caused by
the non-linear transform better than Taylor series based approximations.
However, as already pointed out in the previous section, although the mean

5.6 Unscented Kalman filter

5
True Angle
Measurements
UKF Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 5.6 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the UKF. The
resulting RMSE was 0:11 which is the same as with the SLF
(Figure 5.2).

estimate of the UKF is exact for polynomials up to order 3, the covariance

computation is only exact for polynomials up to the first order (as, e.g., in
the SLF). In the UKF, the dynamic and model functions are also not required to be formally differentiable nor do their Jacobian matrices need to
be computed. The advantage of the UKF over the SLF is that in the UKF
there is no need to compute any expected values in closed form, only evaluations of the dynamic and measurement models are needed. However, the
accuracy of the UKF cannot be expected to be as good as that of the SLF,
because the SLF uses a larger area in the approximation, whereas the UKF
only selects a fixed number of points in the area. The disadvantage over the
EKF is that the UKF often requires slightly more computational operations
than the EKF.
Example 5.3 (Pendulum tracking with UKF) The result of applying the
UKF to the pendulum model and simulated data in Example 5.1 is shown
in Figure 5.6. Unlike in the EKF and the SLF, we do not need to derive
analytical derivatives or expectations for implementing the UKF. Still the
RMSE is the same as with the SLF.

Extended and unscented Kalman filtering

The UKF can be interpreted as belonging to a wider class of filters called

sigma-point filters (Van der Merwe and Wan, 2003), which also includes
other types of filter such as the central differences Kalman filter (CDKF),
the GaussHermite Kalman filter (GHKF) and a few others (Ito and Xiong,
2000; Wu et al., 2006; Nrgaard et al., 2000; Arasaratnam and Haykin,
2009). The classification of sigma-point methods by Van der Merwe
and Wan (2003) is based on interpreting the methods as special cases of
statistical linear regression (Lefebvre et al., 2002). Statistical linearization
is closely related to sigma-point approximations, because they both are
related to statistical linear regression (Van der Merwe and Wan, 2003).
However, it is important to note that the statistical linear regression
(Lefebvre et al., 2002) which is the basis of the sigma-point framework
(Van der Merwe and Wan, 2003) is not exactly equivalent to statistical
linearization (Gelb, 1974). Statistical linear regression can be considered
as a discrete approximation to statistical linearization.
Although at first glance the UKF seems to be quite different from the
EKF, they are indeed very closely related. In fact, Gustafsson and Hendeby
(2012) have shown that the mean of the UKF converges to the second order
EKF in a certain limit of parameter values. In the limit the UT approximation becomes equivalent to using central difference approximations to the
first and second derivatives, hence the result.
Sandblom and Svensson (2012) have also recently proposed a marginalized transform which forms (hierarchical Bayesian) Hermite series expansion based approximations to transformations of Gaussian random variables by fitting the series coefficients via point-wise evaluations. The resulting algorithm contains the UKF (or the UT) as a special case and hence
it also reveals the close connection between the FourierHermite series
based filters (Sarmavuori and Sarkka, 2012a) and the UKF.

5.7 Exercises
5.1

Consider the following non-linear state space model:

xk D xk

0:01 sin.xk

yk D 0:5 sin.2 xk / C rk ;

C qk

(5.98)

where qk 1 has a variance of 0:012 and rk has a variance of 0:02. Derive

the required derivatives for an EKF and implement the EKF for the model.
Simulate trajectories from the model, compute the RMSE values, and plot
the result.

Exercises
5.2

5.3

For the above model, derive the required expected values for an SLF and
implement the SLF for the model. Hint: use the imaginary part of the inverse
Fourier transform of the Gaussian distribution. Compute the RMSE values,
plot the results, and compare the performance to the EKF above.
In this exercise your task is to derive the derivative form of the statistically
linearized filter (SLF).
(a) Prove using integration by parts the following identity for a Gaussian
random variable x, differentiable non-linear function g.x/, and its Jacobian matrix Gx .x/ D @g.x/=@x:
Eg.x/ .x

m/T D EGx .x/ P ;

(5.99)

where E denotes the expected value with respect to N.x j m; P /. Hint:

@
N.x j m; P / D P 1 .x m/ N.x j m; P /.
@x
(b) Prove the following. Let
.m/ D Eg.x/;

(5.100)

where E denotes the expected value with respect to N.x j m; P /. Then

@.m/
D EGx .x/:
(5.101)
@m
(c) Write down the additive form of the SLF equations in an alternative
form, where you have eliminated all the cross terms of the form
Ef .xk 1 / xTk 1 and Eh.xk / xTk T , using the result in (a).
(d) How can you utilize the result (b) when using the alternative form of the
SLF? Check that you get the same equations for the SLF in the previous
exercise using this alternative form of the SLF.
5.4
5.5

Implement a UKF for the model in Exercise 5.1. Plot the results and compare
the RMSE values to the EKF and the SLF.
In this exercise we consider a classical bearings only target tracking problem
which frequently arises in the context of passive sensor tracking. In this
problem there is single target in the scene and two angular sensors are used
for tracking it. The scenario is illustrated in Figure 5.7.
The state of the target at time step k consist of the position .xk ; yk / and the
velocity .xP k ; yPk /. The dynamics of the state vector xk D .xk yk xP k yPk /T
are modeled with the discretized Wiener velocity model:
0
1 0
10
1
1 0 t
0
xk 1
xk
B yk C B 0 1 0 t C B yk 1 C
B
C B
CB
C C qk 1 ;
@ xP k A D @ 0 0 1
0 A @ xP k 1 A
0 0 0
1
yPk 1
yPk

Extended and unscented Kalman filtering

Figure 5.7 In the bearings only target tracking problem the

sensors generate angle measurements of the target, and the
purpose is to determine the target trajectory.
where qk is a zero mean Gaussian process noise with covariance
1
0 c 3
q1 t =3
0
q1c t 2 =2
0
B
0
q2c t 3 =3
0
q2c t 2 =2C
C:
QDB
c
A
@q c t 2 =2
0
q1 t
0
1
c
c
2
0
q2 t =2
0
q2 t
In this scenario the diffusion coefficients are q1c D q2c D 0:1 and the sampling period is t D 0:1. The measurement model for sensor i 2 f1; 2g is
the following:
!
yk syi
i
1
k D tan
C rk ;
(5.102)
xk sxi
where .sxi ; syi / is the position of the sensor i and rk N.0; 2 / is a Gaussian
measurement noise with a standard deviation of D 0:05 radians. At each
sampling time, which occurs ten times per second (i.e., t D 0:1), both of
the two sensors produce a measurement.
In the file angle_ex.m there is a baseline solution, which computes estimates of the position from the crossing of the measurements and estimates
the velocity to be always zero. Your task is to implement an EKF for the
problem and compare the results graphically and in the RMSE sense.
(a) Implement an EKF for the bearings only target tracking problem, which
uses the non-linear measurement model (5.102) as its measurement
model function (not the crossings). Hints:
R
Use the MATLAB
function atan2 in the measurement model instead of atan to directly get an answer in the range ; .

Exercises

The two measurements at each measurement time can be processed

one at a time, that is, you can simply perform two scalar updates
instead of a single two-dimensional measurement update.
Start by computing the Jacobian matrix of the measurement model
function with respect to the state components. Before implementing
the filter, check by finite differences that the Jacobian matrix is correct.
(b) Compute the RMSE values and plot figures of the estimates.
5.6

Implement a UKF for the bearings only target tracking problem in Exercise 5.5. Compare the performance to the EKF.

6
General Gaussian filtering

Quite soon after the unscented Kalman filter (UKF) was published, Ito and
Xiong (2000) pointed out that the UKF can be considered as a special
case of so-called Gaussian filters, where the non-linear filtering problem is
solved using Gaussian assumed density approximations. The generalized
framework also enables the usage of various powerful Gaussian quadrature and cubature integration methods (Wu et al., 2006; Arasaratnam and
Haykin, 2009). The series expansion based filters presented in the previous sections can be seen as approximations to the general Gaussian filter.
In this section we present the Gaussian filtering framework and show how
the GaussHermite Kalman filter (GHKF) and the cubature Kalman filter
(CKF) can be derived as its approximations. We also show how the UKF
can be seen as a generalization of the CKF.

6.1 Gaussian moment matching

One way to unify various Gaussian approximations to non-linear transforms is to reduce them to approximate computation of Gaussian integrals
of the form
Z
g.x/ N.x j m; P / dx:
If we can compute these, a straightforward way to form the Gaussian approximation for .x; y/ is to simply match the moments of the distributions,
which gives the following algorithm.
Algorithm 6.1 (Gaussian moment matching of an additive transform)
The moment matching based Gaussian approximation to the joint distribution of x and the transformed random variable y D g.x/ C q, where
x N.m; P / and q N.0; Q/, is given by

x
m
P CM
N
;
;
(6.1)
T
y
M
CM
SM
96

6.2 Gaussian filter

where
Z
M D

g.x/ N.x j m; P / dx;

SM D

.g.x/

M / .g.x/

Z
CM D

m/ .g.x/

M /T N.x j m; P / dx C Q;

M /T N.x j m; P / dx:

(6.2)

It is now easy to check by substituting the linear approximation g.x/ D

g.m/ C Gx .m/ .x m/ into the above expression that the integrals reduce to the linear approximations in Algorithm 5.1. The analogous thing
happens with quadratic approximations and statistical linearization. The
unscented transform can also be seen as a special case of the above algorithm, as we will see in the following sections.
The non-additive version of the transform is the following.
Algorithm 6.2 (Gaussian moment matching of a non-additive transform)
The moment matching based Gaussian approximation to the joint distribution of x and the transformed random variable y D g.x; q/, where
x N.m; P / and q N.0; Q/, is given by

x
m
P CM
N
;
;
(6.3)
T
y
M
SM
CM
where
Z
M D

g.x; q/ N.x j m; P / N.q j 0; Q/ dx dq;

SM D

.g.x; q/

M / .g.x; q/

M /T

N.x j m; P / N.q j 0; Q/ dx dq;

Z
CM D

m/ .g.x; q/

M /T N.x j m; P / N.q j 0; Q/ dx dq:

(6.4)

6.2 Gaussian filter

If we use the moment matching approximations for constructing a filtering algorithm, we get the following Gaussian assumed density filter (ADF)
which is also called the Gaussian filter (Maybeck, 1982b; Ito and Xiong,

General Gaussian filtering

2000; Wu et al., 2006). The key idea is to assume that the filtering distribution is indeed Gaussian,
p.xk j y1Wk / ' N.xk j mk ; Pk /;

(6.5)

and approximate its mean mk and covariance Pk via moment matching.

Algorithm 6.3 (Gaussian filter I) The prediction and update steps of the
additive noise Gaussian (Kalman) filter are:
Prediction:
Z
mk D

f .xk

N.xk

j mk

1 ; Pk 1 /

Z
Pk D

.f .xk

N.xk

mk / .f .xk
j mk

1 ; Pk 1 /

dxk

mk /T

dxk

C Qk

(6.6)

Update:
Z
k D

h.xk / N.xk j mk ; Pk / dxk ;

Sk D

.h.xk /

k / .h.xk /

Z
Ck D

.xk

mk / .h.xk /

k /T N.xk j mk ; Pk / dxk C Rk ;
k /T N.xk j mk ; Pk / dxk ;

Kk D Ck Sk 1 ;
mk D mk C Kk .yk
Pk D Pk

k /;

Kk Sk KTk :
(6.7)

The advantage of the moment matching formulation is that it enables the

use of many well-known numerical integration methods such as Gauss
Hermite quadratures and cubature rules (Ito and Xiong, 2000; Wu et al.,
2006; Arasaratnam and Haykin, 2009). It is also possible to use other
methods such as the BayesHermite quadrature (OHagan, 1991) or Monte
Carlo integration for approximating the integrals.
The Gaussian filter can be extended to non-additive noise models as
follows.
Algorithm 6.4 (Gaussian filter II) The prediction and update steps of the
non-additive noise Gaussian (Kalman) filter are:

6.3 GaussHermite integration

Prediction:
Z
mk D f .xk

1 ; qk 1 /

N.xk

j mk

1 ; Pk 1 /

N.qk

j 0; Qk

Z
Pk D

.f .xk

1 ; qk 1 /

N.xk

j mk

mk / .f .xk
1 ; Pk 1 /

dxk

dqk

mk /T

1 ; qk 1 /

N.qk

j 0; Qk

dxk

dqk 1 :
(6.8)

Update:
Z
k D

h.xk ; rk /
N.xk j mk ; Pk / N.rk j 0; Rk / dxk drk ;
Z

Sk D

.h.xk ; rk /

k / .h.xk ; rk /

k /T

N.xk j mk ; Pk / N.rk j 0; Rk / dxk drk ;

Z
Ck D

.xk

mk / .h.xk ; rk /

k /T

N.xk j mk ; Pk / N.rk j 0; Rk / dxk drk ;

Kk D Ck Sk 1 ;
mk D mk C Kk .yk
Pk D Pk

k /;

Kk Sk KTk :

(6.9)

The above general Gaussian filters are theoretical constructions rather

than practical filtering algorithms. However, there exist many models for
which the required integrals can indeed be computed in closed form. But
a more practical approach is to compute them numerically. This kind of
method will be discussed in the next sections.

6.3 GaussHermite integration

In the Gaussian filter (and later in the smoother) we are interested in approximating Gaussian integrals of the form
Z
g.x/ N.x j m; P / dx

Z
1
1
T
1
D
g.x/ exp
.x m/ P .x m/ dx;
.2 /n=2 jP j1=2
2
(6.10)

General Gaussian filtering

100

where g.x/ is an arbitrary function. In this section, we shall derive a

GaussHermite based numerical cubature1 algorithm for computing such
integrals. The algorithm is based on direct generalization of the onedimensional GaussHermite rule into multiple dimensions by taking the
Cartesian product of one-dimensional quadratures. The disadvantage of
the method is that the required number of evaluation points is exponential
with respect to the number of dimensions.
In its basic form, one-dimensional GaussHermite quadrature integration refers to the special case of Gaussian quadratures with unit Gaussian
weight function w.x/ D N.x j 0; 1/, that is, to approximations of the form
Z 1
X
g.x/ N.x j 0; 1/ dx
Wi g.x .i / /;
(6.11)
1

where Wi ; i D 1; : : : ; p are the weights and x .i / are the evaluation points

or abscissas also sometimes called sigma points. Note that the quadrature
is sometimes defined in terms of the weight function exp. x 2 /, but here
we shall use the probabilists definition above. The two versions of the
quadrature are related by simple scaling of variables.
Obviously, there are an infinite number of possible ways to select the
weights and evaluation points. In GaussHermite integration, as in all
Gaussian quadratures, the weights and sigma points are chosen such that
with a polynomial integrand the approximation becomes exact. It turns
out that the polynomial order with a given number of points is maximized
if we choose the sigma points to be roots of Hermite polynomials. When
using the pth order Hermite polynomial Hp .x/, the rule will be exact for
polynomials up to order 2p 1. The required weights can be computed in
closed form (see below).
The Hermite polynomial of order p is defined as (these are the so-called
probabilists Hermite polynomials):
Hp .x/ D . 1/p exp.x 2 =2/
1

dp
exp. x 2 =2/:
dx p

(6.12)

As one-dimensional integrals are quadratures, multi-dimensional integrals have been

traditionally called cubatures.

6.3 GaussHermite integration

101

The first few Hermite polynomials are:

H0 .x/ D 1;
H1 .x/ D x;
H2 .x/ D x 2

H3 .x/ D x

3x;

H4 .x/ D x

6 x 2 C 3;

(6.13)

and further polynomials can be found from the recursion

HpC1 .x/ D x Hp .x/

p Hp 1 .x/:

(6.14)

Using the same weights and sigma points, integrals over non-unit Gaussian
weights functions N.x j m; P / can be evaluated using a simple change of
integration variable:
Z 1
Z 1
g.x/ N.x j m; P / dx D
g.P 1=2 C m/ N. j 0; 1/ d: (6.15)
1

GaussHermite integration can be written as the following algorithm.

Algorithm 6.5 (GaussHermite quadrature) The pth order Gauss
Hermite approximation to the one-dimensional integral
Z 1
g.x/ N.x j m; P / dx
(6.16)
1

can be computed as follows:

1 Compute the unit sigma points as the roots .i / ; i D 1; : : : ; p of the Hermite polynomial Hp .x/. Note that we do not need to form the polynomial
and then compute its roots, but instead it is numerically more stable to
compute the roots as eigenvalues of a suitable tridiagonal matrix (Golub
and Welsch, 1969).
2 Compute the weights as
Wi D

p
:
Hp 1 . .i / /2

3 Approximate the integral as

Z 1
p
X
g.x/ N.x j m; P / dx
Wi g.P 1=2 .i / C m/:
1

i D1

(6.17)

(6.18)

General Gaussian filtering

102

By generalizing the change of variables idea, we can form approximations to multi-dimensional integrals of the form (6.10). First let P D
p
p p T
P P , where P is the Cholesky factor of the covariance matrix P or
some other similar square root of the covariance matrix. If we define new
integration variables by
p
x D m C P ;
(6.19)
we get
Z
Z
p
g.x/ N.x j m; P / dx D g.m C P / N. j 0; I/ d:

(6.20)

The integration over the multi-dimensional unit Gaussian distribution can

be written as an iterated integral over one-dimensional Gaussian distributions, and each of the one-dimensional integrals can be approximated with
GaussHermite quadrature:
Z
p
g.m C P / N. j 0; I/ d
Z
Z
p
D g.m C P / N.1 j 0; 1/ d1 N.n j 0; 1/ dn
X
p
Wi1 Win g.m C P .i1 ;:::;in / /:

i1 ;:::;in

(6.21)
The weights Wik ; k D 1; : : : ; n are simply the corresponding onedimensional GaussHermite weights and .i1 ;:::;in / is an n-dimensional
vector with one-dimensional unit sigma point .ik / at element k. The
algorithm can now be written as follows.
Algorithm 6.6 (GaussHermite cubature) The pth order GaussHermite
approximation to the multi-dimensional integral
Z
g.x/ N.x j m; P / dx
(6.22)
can be computed as follows.
1 Compute the one-dimensional weights Wi ; i D 1; : : : ; p and unit sigma
points .i / as in the one-dimensional GaussHermite quadrature Algorithm 6.5.

6.4 GaussHermite Kalman filter

103

2 Form multi-dimensional weights as the products of one-dimensional

weights:
Wi1 ;:::;in D Wi1 Win
p
p
D 2
2
;
.i
/
2
1
p Hp 1 . /
p Hp 1 . .in / /2

(6.23)

where each ik takes values 1; : : : ; p.

3 Form multi-dimensional unit sigma points as Cartesian product of the
one-dimensional unit sigma points:
0 .i / 1
1
B :: C
.i1 ;:::;in /
(6.24)

D @ : A:
.in /

4 Approximate the integral as

Z
X
p
g.x/ N.x j m; P / dx
Wi1 ;:::;in g.m C P .i1 ;:::;in / /;
i1 ;:::;in

(6.25)
where

P is a matrix square root defined by P D

p p T
P P .

The pth order multi-dimensional GaussHermite integration is exact for

monomials of the form x1d1 x2d2 xndn , and their arbitrary linear combinations, where each of the orders di 2p 1. The number of sigma points
required for an n-dimensional integral with pth order rule is p n , which
quickly becomes unfeasible when the number of dimensions grows.
The GaussianHermite cubature canpalso be seen as a sigma-point
method where the sigma points are m C P .i1 ;:::;in / . The difference from
the unscented transform in Section 5.5 is that the sigma points and the
weights are selected differently. Figure 6.1 illustrates how sigma points
are selected in GaussianHermite cubatures.

6.4 GaussHermite Kalman filter

The additive form multi-dimensional GaussHermite cubature based
GaussHermite (Kalman) filter (GHKF) (Ito and Xiong, 2000) which is
also called the quadrature Kalman filter (QKF) (Arasaratnam et al., 2007)
can be derived by replacing the Gaussian integrals in the Gaussian filter
Algorithm 6.3 with the GaussHermite approximations in Algorithm 6.6.

General Gaussian filtering

104
4

4
5

2
0

(a) Original

(b) Transformed

Figure 6.1 Illustration of a fifth order GaussHermite cubature

based approximation to a non-linear transformation. The
difference from the unscented transform (UT) illustrated in
Figure 5.5 is that we are using more sigma points and they are
placed differently. Due to the higher number of sigma points the
covariance of the transformed random variable is captured more
accurately. The covariance of the true distribution is presented by
the dashed line and the solid line is the approximation.

Algorithm 6.7 (GaussHermite Kalman filter) The additive form Gauss

Hermite Kalman filter (GHKF) algorithm is the following.
Prediction:
1 Form the sigma points as:
p
Xk.i11;:::;in / D mk 1 C Pk

.i1 ;:::;in / ;

i1 ; : : : ; in D 1; : : : ; p;
(6.26)

where the unit sigma points .i1 ;:::;in / were defined in Equation (6.24).
2 Propagate the sigma points through the dynamic model:

XOk.i1 ;:::;in / D f .Xk.i11;:::;in / /;

i1 ; : : : ; in D 1; : : : ; p:

(6.27)

3 Compute the predicted mean mk and the predicted covariance Pk :

X
mk D
Wi1 ;:::;in XOk.i1 ;:::;in / ;
i1 ;:::;in

Pk D

Wi1 ;:::;in .XOk.i1 ;:::;in /

mk / .XOk.i1 ;:::;in /

mk /T C Qk

i1 ;:::;in

(6.28)

6.4 GaussHermite Kalman filter

105

where the weights Wi1 ;:::;in were defined in Equation (6.23).

Update:
1 Form the sigma points:

Xk .i1 ;:::;in / D mk C

q
Pk .i1 ;:::;in / ;

i1 ; : : : ; in D 1; : : : ; p;
(6.29)

where the unit sigma points .i1 ;:::;in / were defined in Equation (6.24).
2 Propagate sigma points through the measurement model:

YO k.i1 ;:::;in / D h.Xk .i1 ;:::;in / /;

i1 ; : : : ; in D 1; : : : ; p:

(6.30)

3 Compute the predicted mean k , the predicted covariance of the measurement Sk , and the cross-covariance of the state and the measurement Ck :
X
k D
Wi1 ;:::;in YO k.i1 ;:::;in / ;
i1 ;:::;in

Sk D

Wi1 ;:::;in .YO k.i1 ;:::;in /

k / .YO k.i1 ;:::;in /

k /T C Rk ;

i1 ;:::;in

Ck D

Wi1 ;:::;in .Xk .i1 ;:::;in /

mk / .YO k.i1 ;:::;in /

k /T ;

i1 ;:::;in

(6.31)
where the weights Wi1 ;:::;in were defined in Equation (6.23).
4 Compute the filter gain Kk , the filtered state mean mk and the covariance Pk , conditional on the measurement yk :
Kk D Ck Sk 1 ;
mk D mk C Kk yk
Pk D Pk

Kk Sk KTk :

k ;
(6.32)

The non-additive version can be obtained by applying the Gauss

Hermite quadrature to the non-additive Gaussian filter Algorithm 6.4 in
a similar manner. However, due to the rapid growth of computational
requirements in state dimension the augmented form is computationally
quite heavy, because it requires roughly doubling the dimensionality of the
integration variable.
Example 6.1 (Pendulum tracking with GHKF) The result of the GHKF
in the pendulum model in Example 5.1 is shown in Figure 6.2. The result
is the same as with the SLF and the UKF (RMSE = 0.11) which implies

General Gaussian filtering

106
5

True Angle
Measurements
GHKF Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 6.2 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the GHKF. The
resulting RMSE was 0:11 which is the same as with the SLF and
the UKF.

that in this particular case the higher order approximation to the Gaussian
integrals does not really help. It is possible that the consistency and stability properties of the filters are indeed different, but it is impossible to know
based on this single test.

6.5 Spherical cubature integration

In this section, we derive the third order spherical cubature rule, which
was popularized by Arasaratnam and Haykin (2009). However, instead of
using the derivation of Arasaratnam and Haykin (2009), we shall use the
derivation presented by Wu et al. (2006), due to its simplicity. Although
the derivation that we present here is far simpler than the alternative, it is
completely equivalent. Furthermore, the derivation presented here can be
more easily extended to more complicated spherical cubatures.
Recall from Section 6.3 that the expectation of a non-linear function over
an arbitrary Gaussian distribution N.x j m; P / can always be transformed
into an expectation over the unit Gaussian distribution N. j 0; I/. Thus,

6.5 Spherical cubature integration

107

we can start by considering the multi-dimensional unit Gaussian integral

Z
g./ N. j 0; I/ d:
(6.33)
We now wish to form a 2n-point approximation of the form
Z
X
g./ N. j 0; I/ d W
g.c u.i / /;

(6.34)

where the points u.i / belong to the symmetric set 1 with generator
.1; 0; : : : ; 0/ (see, e.g., Wu et al., 2006; Arasaratnam and Haykin, 2009):
9
80 1 0 1
0 1 0 1
0
1
0
1

>
>

B C B C
>

B 0 C B 1C
>
1
0

>
<B C B C
B C B C
=
B0C B0C
B0C B0C
1 D B C ; B C ; B C ; B C ; ;
(6.35)

B :: C B :: C
B :: C B :: C
>

>
A
@
A
@
A
@
A
@
:
:
:
:

>
>

:
;
0
0
0
0
and W is a weight and c is a parameter yet to be determined.
Because the point set is symmetric, the rule is exact for all monomials
of the form x1d1 x2d2 xndn , if at least one of the exponents di is odd. Thus
we can construct a rule which is exact up to third degree by determining
the coefficients W and c such that it is exact for selections gj ./ D 1 and
gj ./ D j2 . Because the true values of the integrals are
Z
N. j 0; I/ d D 1;
Z
j2 N. j 0; I/ d D 1;
(6.36)
we get the equations
W

1 D W 2n D 1;

X
W
c uj.i / 2 D W 2c 2 D 1;

(6.37)

which have the solutions

1
;
2n
p
c D n:

W D

(6.38)

General Gaussian filtering

108

That is, we get the following simple rule which is exact for monomials up
to third degree:
Z
1 X p .i /
g. n u /:
g./ N. j 0; I/ d
(6.39)
2n i
We can now easily extend the method to arbitrary mean and covariance by
using the change of variables in Equations (6.19) and (6.20) and the result
is the following algorithm.
Algorithm 6.8 (Spherical cubature integration) The third order spherical
cubature approximation to the multi-dimensional integral
Z
g.x/ N.x j m; P / dx
(6.40)
can be computed as follows.
1 Compute the unit sigma points as
(p
n ei ;
i D 1; : : : ; n;
.i /
D
p
n ei n ; i D n C 1; : : : ; 2n;

(6.41)

where ei denotes a unit vector in the direction of the coordinate axis i.

2 Approximate the integral as
Z
2n
p
1 X
g.x/ N.x j m; P / dx
(6.42)
g.m C P .i / /;
2n iD1
where

P is a matrix square root defined by P D

p p T
P P .

It is easy to see that the approximation above is a special case of the

unscented transform (see Section 5.5) with parameters D 1, D 0,
and D 0. With this parameter selection the mean weight is zero and the
unscented transform is effectively a 2n-point approximation as well. The
selection of sigma points in spherical cubature integration is illustrated in
Figure 6.3.
The derivation presented by Arasaratnam and Haykin (2009) is a bit
more complicated than the derivation of Wu et al. (2006) presented above,
as it is based on converting the Gaussian integral into spherical coordinates and then considering the even order monomials. However, Wu et al.
(2006) actually did not present the most useful special case given in Algorithm 6.8, but instead presented the method for more general generators
u. The method in the above Algorithm 6.8 has the useful property that

6.5 Spherical cubature integration

4
5

109

2
0

(a) Original

(b) Transformed

Figure 6.3 Illustration of the third order spherical cubature based

approximation to a non-linear transformation. The difference
from the unscented transform (UT) illustrated in Figure 5.5 is that
we have one sigma point fewer and the spread of the sigma points
is fixed (in UT it is parametrized). The covariance of the true
distribution is presented by the dashed line and the solid line is
the approximation.

its weights are always positive, which is not always true for more general
methods (Wu et al., 2006).
We can generalize the above approach by using a 2n C 1 point approximation, where the origin is also included:
Z
X
g.c u.i / /:
(6.43)
g./ N. j 0; I/ d W0 g.0/ C W
i

We can now solve for the parameters W0 , W , and c such that we get the
exact result with selections gj ./ D 1 and gj ./ D j2 . The solution can
be written in the form

W0 D
;
nC
1
;
W D
2.n C /
p
c D n C ;
(6.44)

General Gaussian filtering

110

where is a free parameter. This gives an integration rule that can be

written as
Z
g.x/ N.x j m; P / dx
2n

X
p

1
g.m/ C
g.m C P .i / /;
nC
2.n C / i D1

where

.i /

(p
n C ei ;
D
p
n C ei

i D 1; : : : ; n;
i D n C 1; : : : ; 2n:
n;

(6.45)

(6.46)

The rule can be seen to coincide with the original UT (Julier and Uhlmann,
1995), which corresponds to the unscented transform presented in Section 5.5 with D 1, D 0, and where is left as a free parameter. With
the selection D 3 n, we can also match the fourth order moments of the
distribution (Julier and Uhlmann, 1995), but with the price that when the
dimensionality n > 3, we get negative weights and approximation rules
that can sometimes be unstable. But nothing prevents us from using other
values for the parameter.
Note that third order here means a different thing than in the Gauss
Hermite Kalman filter the pth order GaussHermite filter is exact for
monomials up to order 2p 1, which means that the third order GHKF is
exact for monomials up to fifth order. The third order spherical cubature
rule is exact only for monomials up to third order. It is also possible to
derive symmetric rules that are exact for higher than third order. However,
this is no longer possible with a number of sigma points which is linear
O.n/ in state dimension (Wu et al., 2006; Arasaratnam and Haykin, 2009).
For example, for a fifth order rule, the required number of sigma points is
proportional to n2 , the state dimension squared.
As in the case of the unscented transform, being exact up to order three
only ensures that the estimate of the mean of g./ is exact for polynomials
of order three. The covariance will be exact only for polynomials up to
order one (linear functions). In this sense the third order spherical cubature
rule is actually a first order spherical cubature rule for the covariance.

6.6 Cubature Kalman filter

When we apply the third order spherical cubature integration rule in Algorithm 6.8 to the Gaussian filter equations in Algorithm 6.3, we get the
cubature Kalman filter (CKF) of Arasaratnam and Haykin (2009).

6.6 Cubature Kalman filter

111

Algorithm 6.9 (Cubature Kalman filter I) The additive form of the cubature Kalman filter (CKF) algorithm is the following.
Prediction:
1 Form the sigma points as:
p
Xk.i /1 D mk 1 C Pk

.i / ;

i D 1; : : : ; 2n;

where the unit sigma points are defined as

(p
n ei ;
i D 1; : : : ; n;
.i /
D
p
n ei n ; i D n C 1; : : : ; 2n:

(6.47)

(6.48)

2 Propagate the sigma points through the dynamic model:

XOk.i / D f .Xk.i /1 /;

i D 1; : : : ; 2n:

(6.49)

3 Compute the predicted mean mk and the predicted covariance Pk :

mk D

1 X O .i /
X ;
2n i D1 k

Pk D

1 X O .i /
.X
2n i D1 k

mk / .XOk.i /

m k /T C Q k

(6.50)

Update:
1 Form the sigma points:

Xk .i / D mk C

q
Pk .i / ;

i D 1; : : : ; 2n;

(6.51)

where the unit sigma points are defined as in Equation (6.48).

2 Propagate sigma points through the measurement model:

YO k.i / D h.Xk .i / /;

i D 1 : : : 2n:

(6.52)

General Gaussian filtering

112

3 Compute the predicted mean k , the predicted covariance of the measurement Sk , and the cross-covariance of the state and the measurement Ck :
2n

k D

1 X O .i /
Y ;
2n i D1 k

Sk D

1 X O .i /
.Y
2n i D1 k

Ck D

1 X
.X .i /
2n i D1 k

k / .YO k.i /

k /T C Rk ;

mk / .YO k.i /

k /T :

(6.53)

4 Compute the filter gain Kk and the filtered state mean mk and covariance Pk , conditional on the measurement yk :
Kk D Ck Sk 1 ;
mk D mk C Kk yk
Pk D Pk

k ;

Kk Sk KTk :

(6.54)

By applying the cubature rule to the non-additive Gaussian filter in Algorithm 6.4 we get the following augmented form of the cubature Kalman
filter (CKF).
Algorithm 6.10 (Cubature Kalman filter II) The augmented non-additive
form of the cubature Kalman filter (CKF) algorithm is the following.
Prediction:
1 Form the matrix of sigma points for the augmented random variable
.xk 1 ; qk 1 /:
q
0
Q k 1 C PQ k 1 .i / ;
XQk.i /1 D m
i D 1; : : : ; 2n0 ;
(6.55)
where
Qk
m

mk 1
;
0

PQ k

Pk
0

0
Qk

:
1

Here n0 D n C nq , where n is the dimensionality of the state xk 1 and

nq is the dimensionality of the noise qk 1 . The unit sigma points are
defined as
(p
n0 ei ;
i D 1; : : : ; n0 ;
.i /0
p
D
(6.56)
n0 ei n0 ; i D n0 C 1; : : : ; 2n0 :

6.6 Cubature Kalman filter

113

2 Propagate the sigma points through the dynamic model:

Q .i /;q
XOk.i / D f .XQk.i /;x
1 ; Xk 1 /;

i D 1; : : : ; 2n0 ;

(6.57)

Q .i /
Q .i /;q
where XQk.i /;x
1 denotes the first n components in Xk 1 and Xk 1 denotes the last nq components.
3 Compute the predicted mean mk and the predicted covariance Pk :
0

2n
1 X O .i /
mk D 0
X ;
2n iD1 k
0

2n
1 X O .i /
.X
Pk D 0
2n iD1 k

mk / .XOk.i /

mk /T :

(6.58)

Update:
1 Let n00 D n C nr , where n is the dimensionality of the state and nr is
the dimensionality of the measurement noise. Form the sigma points
for the augmented vector .xk ; rk / as follows:
q
00
.i /
Q
Q k C PQ k .i / ;
Xk D m
i D 1; : : : ; 2n00 ;
(6.59)
where
Qk D
m

mk
;
0

Pk
PQ k D
0

0
:
Rk

The unit sigma points .i / are defined as in Equation (6.56), but with
n0 replaced by n00 .
2 Propagate the sigma points through the measurement model:

YO k.i / D h.XQk .i /;x ; XQk .i /;r /;

i D 1; : : : ; 2n00 ;

(6.60)

where XQk .i /;x denotes the first n components in XQk .i / and XQk .i /;r
denotes the last nr components.

114

General Gaussian filtering

3 Compute the predicted mean k , the predicted covariance of the measurement Sk , and the cross-covariance of the state and the measurement Ck :
00

2n
1 X O .i /
Y ;
k D 00
2n iD1 k
00

2n
1 X O .i /
Sk D 00
.Y
2n iD1 k

k / .YO k.i /

k /T ;

2n
1 X
.Xk .i /;x
Ck D 00
2n iD1

mk / .YO k.i /

k /T :

(6.61)

4 Compute the filter gain Kk , the filtered state mean mk and the covariance Pk , conditional on the measurement yk :
Kk D Ck Sk 1 ;
mk D mk C Kk yk
Pk D Pk

Kk Sk KTk :

k ;
(6.62)

Although in the cubature Kalman filter (CKF) literature the third order characteristic of the cubature integration rule is often emphasized (see
Arasaratnam and Haykin, 2009), it is important to remember that in the
covariance computation, the rule is only exact for first order polynomials.
Thus in that sense CKF is a first order method.
Example 6.2 (Pendulum tracking with CKF) The result of the CKF in
the pendulum model (Example 5.1) is shown in Figure 6.4. The result is
practically the same as the result of the UKF, which was to be expected,
because the CKF is just a UKF with a specific parametrization.

6.7 Exercises
6.1

6.2
6.3

Show that the selection D 3 n in Equation (6.45) causes fourth order

terms i4 to be integrated exactly when m D 0 and P D I. What happens to
the weights if n > 3?
Show that when the function is linear, both the unscented transform and the
spherical cubature rule give the exact result.
Show that one-dimensional Hermite polynomials are orthogonal with respect to the inner product
Z
hf; gi D f .x/ g.x/ N.x j 0; 1/ dx:
(6.63)

Exercises

115

5
True Angle
Measurements
CKF Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 6.4 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the CKF. The
resulting RMSE was 0:11 which is practically the same as the
error of the UKF. In fact, the result is practically the same as with
all the other non-linear Kalman filters encountered in this book so
far.
6.4

Show that multivariate Hermite polynomials defined as

Hi1 ;:::;in .x/ D Hi1 .x1 / Hin .xn /
are orthogonal with respect to the inner product
Z
hf; gi D f .x/ g.x/ N.x j 0; I/ dx:

6.5
6.6

6.7

(6.64)

(6.65)

Implement a GHKF for the model in Exercise 5.1. Plot the results and compare the RMSE values with the EKF, SLF, and UKF.
Implement a CKF for the model in Exercise 5.1. Plot the results and compare
the RMSE values with the other filters. Can you find such parameter values
for the methods which cause the UKF, GHKF, and CKF methods to become
identical?
Implement a CKF for the bearings only target tracking problem in Exercise 5.5. Compare the performance with the EKF and UKF.

7
Particle filtering

Although in many filtering problems Gaussian approximations work well,

sometimes the filtering distributions can be, for example, multi-modal, or
some of the state components might be discrete, in which case Gaussian
approximations are not appropriate. In such cases sequential importance
resampling based particle filters can be a better alternative. This chapter is
concerned with particle filters, which are methods for forming Monte Carlo
approximations to the solutions of the Bayesian filtering equations.

7.1 Monte Carlo approximations in Bayesian inference

In Bayesian inference, including Bayesian filtering, the main inference
problem can often be reduced into computation of the following kind of
expectations over the posterior distribution:1
Z
Eg.x/ j y1WT D g.x/ p.x j y1WT / dx;
(7.1)
where g W Rn ! Rm is an arbitrary function and p.x j y1WT / is the
posterior probability density of x given the measurements y1 ; : : : ; yT . Now
the problem is that such an integral can be evaluated in closed form only in
a few special cases and generally, numerical methods have to be used.
Monte Carlo methods provide a numerical method for calculating integrals of the form (7.1). Monte Carlo refers to a general class of methods
where closed form computation of statistical quantities is replaced by drawing samples from the distribution and estimating the quantities by sample
averages.
1

In this section we formally treat x as a continuous random variable with a density, but
the analogous results apply to discrete random variables.

116

7.2 Importance sampling

5
5

(a)

117

5
5

(b)

Figure 7.1 (a) Two-dimensional Gaussian distribution. (b) Monte

Carlo representation of the same Gaussian distribution.

In a (perfect) Monte Carlo approximation, we draw N independent random samples x.i / p.x j y1WT /, i D 1; : : : ; N and estimate the expectation as
N
1 X
Eg.x/ j y1WT
g.x.i / /:
(7.2)
N i D1
Thus Monte Carlo methods approximate the target distribution by a set
of samples that are distributed according to the target density. Figure 7.1
represents a two-dimensional Gaussian distribution and its Monte Carlo
representation.
The convergence of the Monte Carlo approximation is guaranteed by
the central limit theorem (CLT, see, e.g., Liu, 2001) and the error term is
O.N 1=2 /, regardless of the dimensionality of x. This invariance with respect to dimensionality is unique to Monte Carlo methods and makes them
superior to practically all other numerical methods when the dimensionality of x is considerable. At least in theory, not necessarily in practice (see
Daum and Huang, 2003; Snyder et al., 2008).

7.2 Importance sampling

Often, in practical Bayesian models, it is not possible to obtain samples
directly from p.x j y1WT / due to its complicated functional form. In importance sampling (IS) (see, e.g., Liu, 2001) we use an approximate distribution called the importance distribution .x j y1WT /, from which we

118

Particle filtering

can easily draw samples. Importance sampling is based on the following

decomposition of the expectation over the posterior probability density
p.x j y1WT /:

Z
Z
p.x j y1WT /
.x j y1WT / dx; (7.3)
g.x/ p.x j y1WT / dx D
g.x/
.x j y1WT /
where the importance density .x j y1WT / is required to be non-zero whenever p.x j y1WT / is non-zero, that is, the support of .x j y1WT / needs to be
greater than or equal to the support of p.x j y1WT /. As the above expression is just the expectation of the term in the brackets over the distribution
.x j y1WT /, we can form a Monte Carlo approximation to it by drawing N
samples from the importance distribution:
x.i / .x j y1WT /;

i D 1; : : : ; N;

(7.4)

and by forming the approximation as

N
1 X p.x.i / j y1WT /
Eg.x/ j y1WT
g.x.i / /
N iD1 .x.i / j y1WT /

N
X

wQ .i / g.x.i / /;

(7.5)

iD1

where the weights have been defined as

wQ .i / D

1 p.x.i / j y1WT /
:
N .x.i / j y1WT /

(7.6)

Figure 7.2 illustrates the idea of importance sampling. We sample from the
importance distribution which is an approximation to the target distribution. Because the distribution of samples is not exact, we need to correct
the approximation by associating a weight with each of the samples.
The disadvantage of this direct importance sampling is that we should
be able to evaluate p.x.i / j y1WT / in order to use it directly. Recall that
by Bayes rule the evaluation of the posterior probability density can be
written as
p.y1WT j x.i / / p.x.i / /
p.x.i / j y1WT / D R
:
(7.7)
p.y1WT j x/ p.x/ dx
The likelihood p.y1WT j x.i / / and prior terms p.x.i / / are usually easy to
evaluate but often the integral in the denominator the normalization constant cannot be computed. To overcome this problem, we can form an

7.2 Importance sampling

119

0.03
0.5

Target Distribution
Importance Distribution

0.025
0.02
Weight

p(x)

0.4
0.3

0.015

0.2

0.01

0.1

0.005

0
4

0
x

0
4

(a)

0
x

(b)

Figure 7.2 (a) The importance distribution approximates the

target distribution. (b) Weights are associated with each of the
samples to correct the approximation.

importance sampling approximation to the expectation integral by also approximating the normalization constant by importance sampling. For this
purpose we can decompose the expectation integral and form the approximation as follows.
Z
Eg.x/ j y1WT D g.x/ p.x j y1WT / dx
R
g.x/ p.y1WT j x/ p.x/ dx
D R
p.y1WT j x/ p.x/ dx
i
R h p.y1WT jx/ p.x/
g.x/
.x j y1WT / dx
.xjy1WT /
i
D Rh
p.y1WT jx/ p.x/
.x j y1WT / dx
.xjy1WT /
P
.i
/
N
p.y1WT jx / p.x.i / /
1
g.x.i / /
i D1
N
.x.i / jy1WT /

PN p.y1WT jx.j / / p.x.j / /
1
N

j D1

.x.j / jy1WT /

p.y1WT jx.i / / p.x.i / /

.x.i / jy1WT /
4P
N
p.y1WT jx.j / / p.x.j / /
j D1
i D1
.x.j / jy1WT /

N
X

Thus we get the following algorithm.

w .i /

3
5 g.x.i / /:

(7.8)

Particle filtering

120

Algorithm 7.1 (Importance sampling) Given a measurement model

p.y1WT j x/ and a prior p.x/ we can form an importance sampling
approximation to the posterior as follows.
1 Draw N samples from the importance distribution:
x.i / .x j y1WT /;

i D 1; : : : ; N:

(7.9)

2 Compute the unnormalized weights by

w .i / D

p.y1WT j x.i / / p.x.i / /

;
.x.i / j y1WT /

(7.10)

and the normalized weights by

w .i /
w .i / D PN
:
.j /
j D1 w

(7.11)

3 The approximation to the posterior expectation of g.x/ is then given as

Eg.x/ j y1WT

N
X

w .i / g.x.i / /:

(7.12)

i D1

The approximation to the posterior probability density formed by the

above algorithm can then be formally written as
p.x j y1WT /

N
X

w .i / .x

x.i / /;

(7.13)

iD1

where ./ is the Dirac delta function.

7.3 Sequential importance sampling

Sequential importance sampling (SIS) (see, e.g., Doucet et al., 2001) is a
sequential version of importance sampling. The SIS algorithm can be used
for generating importance sampling approximations to filtering distributions of generic state space models of the form
xk p.xk j xk

1 /;

yk p.yk j xk /;
n

(7.14)
m

where xk 2 R is the state at time step k and yk 2 R is the measurement.

The state and measurements may contain both discrete and continuous
components.

7.3 Sequential importance sampling

121

The SIS algorithm uses a weighted set of particles f.wk.i / ; x.ik / / W i D

1; : : : ; N g, that is, samples from an importance distribution and their
weights, for representing the filtering distribution p.xk j y1Wk / such that
at every time step k the approximation to the expectation of an arbitrary
function g./ can be calculated as the weighted sample average
N
X

Eg.xk / j y1Wk

wk.i / g.x.ik / /:

(7.15)

iD1

Equivalently, SIS can be interpreted as forming an approximation to the

filtering distribution as
p.xk j y1Wk /

N
X

wk.i / .xk

x.ik / /:

(7.16)

iD1

To derive the algorithm, we consider the full posterior distribution of states

x0Wk given the measurements y1Wk . By using the Markov properties of the
model, we get the following recursion for the posterior distribution:
p.x0Wk j y1Wk / / p.yk j x0Wk ; y1Wk

1 / p.x0Wk

D p.yk j xk / p.xk j x0Wk

D p.yk j xk / p.xk j xk

j y1Wk

1 ; y1Wk 1 / p.x0Wk 1

1 / p.x0Wk 1

j y1Wk

1 /:

(7.17)
Using a similar rationale as in the previous section, we can now construct
an importance sampling method which draws samples from a given importance distribution x.i0Wk/ .x0Wk j y1Wk / and computes the importance
weights by
wk.i / /

p.yk j x.ik / / p.x.ik / j x.ik / 1 / p.x.i0Wk/

.x.i0Wk/

j y1Wk

j y1Wk /

(7.18)

If we form the importance distribution for the states xk recursively as follows:

.x0Wk j y1Wk / D .xk j x0Wk

1 ; y1Wk / .x0Wk 1

j y1Wk

1 /;

(7.19)

then the expression for the weights can be written as

wk.i / /

p.yk j x.ik / / p.x.ik / j x.ik / 1 / p.x.i0Wk/

.x.ik /

x.i0Wk/ 1 ; y1Wk /

1
.x.i0Wk/ 1

j y1Wk

(7.20)

Particle filtering

122

Lets now assume that we have already drawn the samples x.i0Wk/ 1 from the
importance distribution .x0Wk 1 j y1Wk 1 / and computed the corresponding importance weights wk.i / 1 . We can now draw samples x.i0Wk/ from the
importance distribution .x0Wk j y1Wk / by drawing the new state samples
for the step k as x.ik / .xk j x.i0Wk/ 1 ; y1Wk /. The importance weights from
the previous step are proportional to the last term in Equation (7.20):
wk.i / 1 /

p.x.i0Wk/

1
.x.i0Wk/ 1

j y1Wk

(7.21)

and thus the weights satisfy the recursion

wk.i /

p.yk j x.ik / / p.x.ik / j x.ik / 1 /

.x.ik /

x.i0Wk/ 1 ; y1Wk /

wk.i / 1 :

(7.22)

The generic sequential importance sampling algorithm can now be described as follows.
Algorithm 7.2 (Sequential importance sampling)
following:

Steps of SIS are the

Draw N samples x.i0 / from the prior

x.i0 / p.x0 /;

i D 1; : : : ; N;

(7.23)

and set w0.i / D 1=N , for all i D 1; : : : ; N .

For each k D 1; : : : ; T do the following.
1 Draw samples x.ik / from the importance distributions
x.ik / .xk j x.i0Wk/

1 ; y1Wk /;

i D 1; : : : ; N:

(7.24)

2 Calculate new weights according to

wk.i /

p.yk
wk.i / 1

j x.ik / / p.x.ik / j x.ik / 1 /

.x.ik / j x.i0Wk/

1 ; y1Wk /

(7.25)

and normalize them to sum to unity.

Note that it is convenient to select the importance distribution to be
Markovian in the sense that
.xk j x0Wk

1 ; y1Wk /

D .xk j xk

1 ; y1Wk /:

(7.26)

With this form of importance distribution we do not need to store the whole
histories x.i0Wk/ in the SIS algorithm, only the current states x.ik / . This form is

7.4 Sequential importance resampling

123

also convenient in sequential importance resampling (SIR) discussed in the

next section, because we do not need to worry about the state histories during the resampling step as in the SIR particle smoother (see Section 11.1).
Thus in the following section we assume that the importance distribution
has indeed been selected to have the above Markovian form.

7.4 Sequential importance resampling

One problem in the SIS algorithm described in the previous section is that
we easily encounter the situation that almost all the particles have zero
or nearly zero weights. This is called the degeneracy problem in particle
filtering literature and it prevented practical applications of particle filters
for many years.
The degeneracy problem can be solved by using a resampling procedure.
It refers to a procedure where we draw N new samples from the discrete
distribution defined by the weights and replace the old set of N samples
with this new set. This procedure can be be written as the following algorithm:
Algorithm 7.3 (Resampling) The resampling procedure can be described
as follows.
1 Interpret each weight wk.i / as the probability of obtaining the sample
index i in the set fx.ik / W i D 1; : : : ; N g.
2 Draw N samples from that discrete distribution and replace the old
sample set with this new one.
3 Set all weights to the constant value wk.i / D 1=N .
The idea of the resampling procedure is to remove particles with very
small weights and duplicate particles with large weights. Although the
theoretical distribution represented by the weighted set of samples does
not change, resampling introduces additional variance to estimates. This
variance introduced by the resampling procedure can be reduced by proper
choice of the resampling method. The stratified resampling algorithm
(Kitagawa, 1996) is optimal in terms of variance.
Adding a resampling step to the sequential importance sampling algorithm leads to sequential importance resampling (SIR)2 (Gordon et al.,
1993; Kitagawa, 1996; Doucet et al., 2001; Ristic et al., 2004), which is
the algorithm usually referred to as the particle filter. In SIR, resampling
2

Sequential importance resampling is also often referred to as sampling importance

resampling or sequential importance sampling resampling.

124

Particle filtering

is not usually performed at every time step, but only when it is actually
needed. One way of implementing this is to do resampling on every nth
step, where n is some predefined constant. This method has the advantage
that it is unbiased. Another way, which is used here, is adaptive resampling.
In this method, the effective number of particles, which is estimated from
the variance of the particle weights (Liu and Chen, 1995), is used for monitoring the need for resampling. The estimate for the effective number of
particles can be computed as:
neff

1
;
PN .i / 2
w
i D1
k

(7.27)

where wk.i / is the normalized weight of particle i at the time step k (Liu
and Chen, 1995). Resampling is performed when the effective number of
particles is significantly less than the total number of particles, for example,
neff < N=10, where N is the total number of particles.
Algorithm 7.4 (Sequential importance resampling) The sequential importance resampling (SIR) algorithm, which is also called the particle filter
(PF), is the following.
Draw N samples x.i0 / from the prior
x.i0 / p.x0 /;

i D 1; : : : ; N;

(7.28)

and set w0.i / D 1=N , for all i D 1; : : : ; N .

For each k D 1; : : : ; T do the following:
1 Draw samples x.ik / from the importance distributions
x.ik / .xk j x.ik / 1 ; y1Wk /;

i D 1; : : : ; N:

(7.29)

2 Calculate new weights according to

wk.i / / wk.i / 1

p.yk j x.ik / / p.x.ik / j x.ik / 1 /

.x.ik / j x.ik / 1 ; y1Wk /

(7.30)

and normalize them to sum to unity.

3 If the effective number of particles (7.27) is too low, perform resampling.

7.4 Sequential importance resampling

125

The SIR algorithm forms the following approximation to the filtering

distribution:
N
X
p.xk j y1Wk /
wk.i / .xk x.ik / /;
(7.31)
iD1

and thus the expectation of an arbitrary function g./ can be approximated

as
N
X
Eg.xk / j y1Wk
wk.i / g.x.ik / /:
(7.32)
iD1

Performance of the SIR algorithm depends on the quality of the importance distribution ./. The importance distribution should be in such a
functional form that we can easily draw samples from it and that it is possible to evaluate the probability densities of the sample points. The optimal
importance distribution in terms of variance (see, e.g., Doucet et al., 2001;
Ristic et al., 2004) is
.xk j x0Wk

1 ; y1Wk /

D p.xk j xk

1 ; yk /:

(7.33)

If the optimal importance distribution cannot be directly used, importance

distributions can sometimes be obtained by local linearization where a
mixture of extended Kalman filters (EKF), unscented Kalman filters (UKF)
or other types of non-linear Kalman filter are used for forming the importance distribution (Doucet et al., 2000; Van der Merwe et al., 2001). It is
also possible to use a MetropolisHastings step after (or in place of) the
resampling step to smooth the resulting distribution (Van der Merwe et al.,
2001). A particle filter with UKF importance distribution is also referred
to as the unscented particle filter (UPF). Similarly, we could call a particle filter with the GaussHermite Kalman filter importance distribution the
GaussHermite particle filter (GHPF) and one with the cubature Kalman
filter importance distribution the cubature particle filter (CPF). However,
the use of this kind of importance distribution can also lead to the failure
of particle filter convergence and hence they should be used with extreme
care. Instead of forming the importance distribution directly by using the
Gaussian approximation provided by the EKF, UKF, or other Gaussian filter it may be advisable to artificially increase the covariance of the distribution or to replace the Gaussian distribution with a Students t distribution
with a suitable number of degrees of freedom (see Cappe et al., 2005).
By tuning the resampling algorithm to specific estimation problems and
possibly changing the order of weight computation and sampling, accuracy
and computational efficiency of the algorithm can be improved (Fearnhead

Particle filtering

126

and Clifford, 2003). An important issue is that sampling is more efficient

without replacement, such that duplicate samples are not stored. There is
also evidence that in some situations it is more efficient to use a simple
deterministic algorithm for preserving the N most likely particles. In the
article by Punskaya et al. (2002) it is shown that in digital demodulation,
where the sampled space is discrete and the optimization criterion is the
minimum error, the deterministic algorithm performs better.
The bootstrap filter (Gordon et al., 1993) is a variation of SIR where the
dynamic model p.xk j xk 1 / is used as the importance distribution. This
makes the implementation of the algorithm very easy, but due to the inefficiency of the importance distribution it may require a very large number of
Monte Carlo samples for accurate estimation results. In the bootstrap filter
the resampling is normally done at each time step.
Algorithm 7.5 (Bootstrap filter) The bootstrap filter algorithm is as follows.
1 Draw a new point x.ik / for each point in the sample set fx.ik / 1 W i D
1; : : : ; N g from the dynamic model:
x.ik / p.xk j x.ik / 1 /;

i D 1; : : : ; N:

(7.34)

i D 1; : : : ; N;

(7.35)

2 Calculate the weights

wk.i / / p.yk j x.ik / /;
and normalize them to sum to unity.
3 Do resampling.
Another variation of sequential importance resampling is the auxiliary
SIR (ASIR) filter (Pitt and Shephard, 1999). The idea of the ASIR is to
mimic the availability of the optimal importance distribution by performing
the resampling at step k 1 using the available measurement at time k.
One problem encountered in particle filtering, even when using a resampling procedure, is called sample impoverishment (see, e.g., Ristic et al.,
2004). It refers to the effect that when the noise in the dynamic model is
very small, many of the particles in the particle set will turn out to have exactly the same value. That is, the resampling step simply multiplies a few
(or one) particles and thus we end up having a set of identical copies of
certain high weighted particles. This problem can be diminished by using,
for example, the resample-move algorithm, regularization, or MCMC steps
(Ristic et al., 2004).

7.4 Sequential importance resampling

127

5
True Angle
Measurements
PF Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 7.3 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with a bootstrap type of
particle filter (PF) with 10 000 particles. The resulting RMSE was
0:12 which is slightly higher than the errors of most of the
Gaussian approximation based filters (the EKF had 0:12, others
0:11).

Because low noise in the dynamic model causes sample impoverishment, it also implies that pure recursive estimation with particle filters
is challenging. This is because in pure recursive estimation the process
noise is formally zero and thus a basic SIR based particle filter is likely
to perform very badly. Pure recursive estimation, such as recursive estimation of static parameters, can sometimes be done by applying a Rao
Blackwellized particle filter instead of the basic SIR particle filter (see
Section 12.3.5). However, the more common use of RaoBlackwellization
is in the conditionally linear Gaussian state space models which we will
discuss in the next section.
Example 7.1 (Pendulum tracking with a particle filter) The result of the
bootstrap filter with 10 000 particles in the pendulum model (Example 5.1)
is shown in Figure 7.3. The RMSE of 0:12 is slightly higher than with most
of the other filters with the EKF we got an RMSE of 0:12 and with
the SLF/UKF/GHKF/CKF we got an RMSE of 0:11. This implies that in
this case the filtering distribution is indeed quite well approximated with a
Gaussian distribution, and thus using a particle filter is not beneficial.

Particle filtering

128
5

True Angle
Measurements
PF Estimate
GHKF with True R
GHKF with Increased R

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 7.4 Simulated pendulum data in the presence of 50%

clutter (outlier) measurements and the result of tracking with a
bootstrap type of particle filter (PF) with 10 000 particles (see
Example 7.2). The resulting RMSE was 0:16. The corresponding
errors of the GHKF with no clutter model at all and the GHKF
with artificially increased noise variance were 3:60 and 0:82,
respectively.

In the above example the model is of the type which is suitable for
Gaussian approximation based filters and thus the particle filter produces
much the same result as they do. But often the noises in the system are not
Gaussian or there might be clutter (outlier) measurements which do not
fit into the Gaussian non-linear state space modeling framework at all. In
these kinds of model, the particle filter still produces good results whereas
Gaussian filters do not work at all. The next example illustrates this kind
of situation.
Example 7.2 (Cluttered pendulum tracking with a particle filter) In this
scenario, the pendulum sensor is broken such that at each time instant it
produces clutter (a random number in the range 2; 2) with probability
50%. This kind of situation can be modeled by including an indicator value
(data association indicator) as part of the state, which indicates whether
the measurement is clutter or not. The result of the bootstrap filter in the
pendulum model (Example 5.1) is shown in Figure 7.4. The RMSE of 0:16

7.5 RaoBlackwellized particle filter

129

is slightly higher than in the clutter-free case. In Gaussian filters a clutter model cannot be included into the system as such, but one heuristic
way to cope with it is to set the measurement noise variance high enough.
In Figure 7.4 we also show the results of a GaussHermite Kalman filter
(GHKF) with no clutter model at all, and the result of a GHKF with artificially increased noise variance. The RMSEs of these filters are 3:60 and
0:82, respectively, which are much higher than the RMSE of the particle
filter. The estimate trajectories of the GHKFs also indicate that they are
having significant trouble in estimating the state.

7.5 RaoBlackwellized particle filter

One way of improving the efficiency of SIR is to use RaoBlackwellization.
The idea of the RaoBlackwellized particle filter (RBPF) (Akashi and
Kumamoto, 1977; Doucet et al., 2001; Ristic et al., 2004), which is also
called the mixture Kalman filter (MKF) (Chen and Liu, 2000) is that
sometimes it is possible to evaluate some of the filtering equations analytically and the others with Monte Carlo sampling instead of computing
everything with pure sampling. According to the RaoBlackwell theorem
(see, e.g., Berger, 1985) this leads to estimators with less variance than
could be obtained with pure Monte Carlo sampling. An intuitive way of
understanding this is that the marginalization replaces the finite Monte
Carlo particle set representation with an infinite closed form particle set,
which is always more accurate than any finite set.
Most commonly RaoBlackwellized particle filtering refers to marginalized filtering of conditionally linear Gaussian models of the form
p.xk j xk

1 ; uk 1 /

D N.xk j Ak

1 .uk 1 / xk 1 ; Qk 1 .uk 1 //;

p.yk j xk ; uk / D N.yk j Hk .uk / xk ; Rk .uk //;

p.uk j uk

D (any given form);

(7.36)

where xk is the state, yk is the measurement, and uk is an arbitrary latent

variable. If also the prior of xk is Gaussian, then due to the conditionally
linear Gaussian structure of the model the state variables xk can be integrated out analytically and only the latent variables uk need to be sampled.
The RaoBlackwellized particle filter uses SIR for the latent variables and
computes the conditionally Gaussian part in closed form.
To derive the filtering algorithm, first note that the full posterior distribution at step k can be factored as
p.u0Wk ; x0Wk j y1Wk / D p.x0Wk j u0Wk ; y1Wk / p.u0Wk j y1Wk /;

(7.37)

Particle filtering

130

where the first term is Gaussian and computable with the Kalman filter
and RTS smoother. For the second term we get the following recursion
analogously to Equation (7.17):
p.u0Wk j y1Wk /
/ p.yk j u0Wk ; y1Wk

1 / p.u0Wk

j y1Wk

D p.yk j u0Wk ; y1Wk

1 / p.uk

j u0Wk

D p.yk j u0Wk ; y1Wk

1 / p.uk

j uk

1/
1 ; y1Wk 1 / p.u0Wk 1

1 / p.u0Wk 1

j y1Wk

1 /;

(7.38)

where we have used the Markovianity of uk . Now the measurements are

not conditionally independent given uk and thus the first term differs from
the corresponding term in Equation (7.17). The first term can be computed
by running the Kalman filter with fixed u0Wk over the measurement sequence. The second term is just the dynamic model and the third term is
the posterior from the previous step.
If we form the importance distribution recursively as follows:
.u0Wk j y1Wk / D .uk j u0Wk

1 ; y1Wk / .u0Wk 1

j y1Wk

1 /;

(7.39)

then by following the same derivation as in Section 7.3, we get the following recursion for the weights:
wk.i /

p.yk j u.i0Wk/

.i /
1 ; y1Wk 1 / p.uk
.u.ik / j u.i0Wk/ 1 ; y1Wk /

j u.ik / 1 /

wk.i / 1 ;

(7.40)

which corresponds to Equation (7.22). Thus via the above recursion we can
form an importance sampling based approximation to the marginal distribution p.u0Wk j y1Wk /. But because, given u0Wk , the distribution p.x0Wk j
u0Wk ; y1Wk / is Gaussian, we can form the full posterior distribution by using
Equation (7.37). Computing the distribution jointly for the full history x0Wk
would require running both the Kalman filter and the RTS smoother over
the sequences u0Wk and y1Wk , but if we are only interested in the posterior of
the last time step xk , we only need to run the Kalman filter. The resulting
algorithm is the following.
Algorithm 7.6 (RaoBlackwellized particle filter) Given a sequence of
importance distributions .uk j u.i0Wk/ 1 ; y1Wk / and a set of weighted samples fwk.i / 1 ; u.ik / 1 ; m.ik / 1 ; Pk.i /1 W i D 1; : : : ; N g, the RaoBlackwellized
particle filter (RBPF) processes the measurement yk as follows (Doucet
et al., 2001).

7.5 RaoBlackwellized particle filter

131

1 Perform Kalman filter predictions for each of the Kalman filter means
and covariances in the particles i D 1; : : : ; N conditional on the previously drawn latent variable values u.ik / 1 :
mk .i / D Ak

.i /
.i /
1 .uk 1 / mk 1 ;

Pk .i / D Ak

.i /
.i /
1 .uk 1 / Pk 1

ATk 1 .u.ik / 1 / C Qk

.i /
1 .uk 1 /:

(7.41)

2 Draw new latent variables u.ik / for each particle in i D 1; : : : ; N from

the corresponding importance distributions:
u.ik / .uk j u.i0Wk/

1 ; y1Wk /:

(7.42)

3 Calculate new weights as follows:

wk.i / / wk.i / 1

p.yk j u.i0Wk/ ; y1Wk

.u.ik / j u.i0Wk/

p.u.ik / j u.ik / 1 /
1 ; y1Wk /

(7.43)

where the likelihood term is the marginal measurement likelihood of the

Kalman filter
p.yk j u.i0Wk/ ; y1Wk 1 /

D N yk Hk .u.ik / / mk .i / ; Hk .u.ik / / Pk .i / HTk .u.ik / / C Rk .u.ik / /

(7.44)
such that the model parameters in the Kalman filter are conditioned on
the drawn latent variable value u.ik / . Then normalize the weights to sum
to unity.
4 Perform Kalman filter updates for each of the particles conditional on
the drawn latent variables u.ik / :
vk.i / D yk

Hk .u.ik / / mk ;

Sk.i / D Hk .u.ik / / Pk .i / HTk .u.ik / / C Rk .u.ik / /;

K.ik / D Pk .i / HTk .u.ik / / Sk 1 ;
m.ik / D mk .i / C K.ik / vk.i / ;
Pk.i / D Pk .i /

K.ik / Sk.i / K.ik / T :

(7.45)

5 If the effective number of particles (7.27) is too low, perform resampling.

The RaoBlackwellized particle filter produces for each time step k a
set of weighted samples fwk.i / ; u.ik / ; m.ik / ; Pk.i / W i D 1; : : : ; N g such that

Particle filtering

132

the expectation of a function g./ can be approximated as

Z
N
X
Eg.xk ; uk / j y1Wk
wk.i /
g.xk ; u.ik / / N.xk j m.ik / ; Pk.i / / dxk :
i D1

(7.46)
Equivalently, the RBPF can be interpreted to form an approximation to the
filtering distribution as
p.xk ; uk j y1Wk /

N
X

wk.i / .uk

u.ik / / N.xk j m.ik / ; Pk.i / /:

(7.47)

iD1

The optimal importance distribution, that is, the importance distribution

that minimizes the variance of the importance weights in the RBPF case is
.uk j y1Wk ; u.i0Wk/

D p.uk j y1Wk ; u.i0Wk/

/ p.yk j uk ; u.i0Wk/

1 / p.uk

j u.i0Wk/

1 ; y1Wk 1 /:

(7.48)

In general, normalizing this distribution or drawing samples from this distribution directly is not possible. But, if the latent variables uk are discrete,
we can normalize this distribution and use this optimal importance distribution directly.
The class of models where RaoBlackwellization of some linear state
components can be carried out can be extended beyond the conditionally
linear Gaussian models presented here. We can, for example, include additional latent-variable dependent non-linear terms into the dynamic and
measurement models (Schon et al., 2005). In some cases, when the filtering model is not strictly Gaussian due to slight non-linearities in either the
dynamic or measurement models, it is possible to replace the exact Kalman
filter update and prediction steps in RBPF with the extended Kalman filter
(EKF), the unscented Kalman filter (UKF) prediction and update steps, or
with any other Gaussian approximation based filters (Sarkka et al., 2007b).

7.6 Exercises
7.1

Recall the following state space model from Exercise 3.1:

1 1
xk 1 C qk 1 ;
xk D
0 1

yk D 1 0 xk C rk ;

(7.49)

where xk D .xk xP k /T is the state, yk is the measurement, and qk

N.0; diag.1=102 ; 12 // and rk N.0; 102 / are white Gaussian noise processes.

Exercises

133

(a) Write down the Kalman filter equations for this model.
(b) Derive an expression for the optimal importance distribution for the
model:
.xk / D p.xk j xk

1 ; y1Wk /:

(7.50)

(c) Write pseudo-code for the corresponding particle filter algorithm (sequential importance resampling algorithm). Also write down the equations for the weight update.
(d) Compare the number of CPU steps (multiplications and additions)
needed by the particle filter and Kalman filter. Which implementation
would you choose for a real implementation?
7.2
7.3

7.4

7.5

Implement the bootstrap filter for the model in Exercise 5.1 and test its
performance against the non-linear Kalman filters.
Implement a sequential importance resampling filter with an EKF, UKF,
GHKF, or CKF based importance distribution for the model in Exercise 5.1.
Note that you might want to use a small non-zero covariance as the prior of
the previous step instead of plain zero to get the filters to work better.
Implement the bootstrap filter and SIR with the CKF importance distribution
for the bearings only target tracking model in Exercise 5.5. Plot the results
and compare the RMSE values to those of the non-linear Kalman filters.
Implement a RaoBlackwellized particle filter for the following clutter
model (outlier model) :
xk D xk 1 C qk 1 ;
(
xk C rk ; if uk D 0;
yk D c
if uk D 1;
rk ;

(7.51)

where qk 1 N.0; 1/, rk N.0; 1/ and rkc N.0; 102 /. The indicator
variables uk are modeled as independent random variables which take the
value uk D 0 with prior probability 0:9 and the value uk D 1 with prior
probability 0:1. Test the performance of the filter with simulated data and
compare the performance to a Kalman filter, where the clutter rkc is ignored.
What is the optimal importance distribution for this model?

8
Bayesian smoothing equations and
exact solutions
So far in this book we have only considered filtering algorithms which use
the measurements obtained before and at the current step for computing
the best possible estimate of the current state (and possibly future states).
However, sometimes it is also of interest to estimate states for each time
step conditional on all the measurements that we have obtained. This problem can be solved with Bayesian smoothing. In this chapter, we present
the Bayesian theory of smoothing. After that we derive the RauchTung
Striebel (RTS) smoother which is the closed form smoothing solution to
linear Gaussian models. We also briefly discuss two-filter smoothers.

8.1 Bayesian smoothing equations

The purpose of Bayesian smoothing1 is to compute the marginal posterior
distribution of the state xk at the time step k after receiving the measurements up to a time step T , where T > k:
p.xk j y1WT /:

(8.1)

The difference between filters and smoothers is that the Bayesian filter
computes its estimates using only the measurements obtained before and
at the time step k, but the Bayesian smoother uses also the future measurements for computing its estimates. After obtaining the filtering posterior
state distributions, the following theorem gives the equations for computing the marginal posterior distributions for each time step conditionally on
all the measurements up to the time step T .
Theorem 8.1 (Bayesian optimal smoothing equations) The backward recursive equations (the Bayesian smoother) for computing the smoothed
distributions p.xk j y1WT / for any k < T are given by the following
1

This definition actually applies to the fixed-interval type of smoothing.

134

8.2 RauchTungStriebel smoother

135

Bayesian (fixed-interval) smoothing equations (Kitagawa, 1987):

Z
p.xkC1 j y1Wk / D p.xkC1 j xk / p.xk j y1Wk / dxk ;

Z
p.xkC1 j xk / p.xkC1 j y1WT /
dxkC1 ;
p.xk j y1WT / D p.xk j y1Wk /
p.xkC1 j y1Wk /
(8.2)
where p.xk j y1Wk / is the filtering distribution of the time step k. Note that
the term p.xkC1 j y1Wk / is simply the predicted distribution of time step
k C 1. The integrations are replaced by summations if some of the state
components are discrete.
Proof Due to the Markov properties the state xk is independent of ykC1WT
given xkC1 , which gives p.xk j xkC1 ; y1WT / D p.xk j xkC1 ; y1Wk /. By using Bayes rule the distribution of xk given xkC1 and y1WT can be expressed
as
p.xk j xkC1 ; y1WT / D p.xk j xkC1 ; y1Wk /
p.xk ; xkC1 j y1Wk /
D
p.xkC1 j y1Wk /
p.xkC1 j xk ; y1Wk / p.xk j y1Wk /
D
p.xkC1 j y1Wk /
p.xkC1 j xk / p.xk j y1Wk /
:
D
p.xkC1 j y1Wk /

(8.3)

The joint distribution of xk and xkC1 given y1WT can be now computed as
p.xk ; xkC1 j y1WT / D p.xk j xkC1 ; y1WT / p.xkC1 j y1WT /
D p.xk j xkC1 ; y1Wk / p.xkC1 j y1WT /
p.xkC1 j xk / p.xk j y1Wk / p.xkC1 jy1WT /
D
;
p.xkC1 j y1Wk /

(8.4)

where p.xkC1 j y1WT / is the smoothed distribution of the time step k C

1. The marginal distribution of xk given y1WT is given by integration (or
summation) over xkC1 in Equation (8.4), which gives the desired result.

8.2 RauchTungStriebel smoother

The RauchTungStriebel smoother (RTSS, Rauch et al., 1965), which is
also called the Kalman smoother, can be used for computing the closed

Bayesian smoothing equations and exact solutions

136

form smoothing solution

p.xk j y1WT / D N.xk j msk ; Pks /

(8.5)

to the linear filtering model (4.17). The difference from the solution computed by the Kalman filter is that the smoothed solution is conditional on
the whole measurement data y1WT , while the filtering solution is conditional
only on the measurements obtained before and at the time step k, that is,
on the measurements y1Wk .
Theorem 8.2 (RTS smoother) The backward recursion equations for the
(fixed interval) RauchTungStriebel smoother are given as
mkC1 D Ak mk ;
PkC1 D Ak Pk ATk C Qk ;
Gk D Pk ATk PkC1 1 ;
msk D mk C Gk mskC1

mkC1 ;

s
Pks D Pk C Gk PkC1

PkC1 GkT ;

(8.6)

where mk and Pk are the mean and covariance computed by the Kalman
filter. The recursion is started from the last time step T , with msT D mT and
PTs D PT . Note that the first two of the equations are simply the Kalman
filter prediction equations.
Proof Similarly to the Kalman filter case, by Lemma A.1, the joint distribution of xk and xkC1 given y1Wk is
p.xk ; xkC1 j y1Wk / D p.xkC1 j xk / p.xk j y1Wk /
D N.xkC1 j Ak xk ; Qk / N.xk j mk ; Pk /

xk

Q
Q 1 ; P1 ;
DN
m
xkC1

(8.7)

where

mk
Q1D
m
;
Ak mk

PQ 1 D

Pk
Ak Pk

Pk ATk
:
Ak Pk ATk C Qk

(8.8)

Due to the Markov property of the states we have

p.xk j xkC1 ; y1WT / D p.xk j xkC1 ; y1Wk /;

(8.9)

and thus by Lemma A.2 we get the conditional distribution

p.xk j xkC1 ; y1WT / D p.xk j xkC1 ; y1Wk /
Q 2 ; PQ 2 /;
D N.xk j m

(8.10)

8.2 RauchTungStriebel smoother

137

where
Gk D Pk ATk .Ak Pk ATk C Qk /

Q 2 D mk C Gk .xkC1 Ak mk /
m
PQ 2 D Pk Gk .Ak Pk ATk C Qk / GkT :

(8.11)

The joint distribution of xk and xkC1 given all the data is

p.xkC1 ; xk j y1WT / D p.xk j xkC1 ; y1WT / p.xkC1 j y1WT /
s
Q 2 ; PQ 2 / N.xkC1 j mskC1 ; PkC1
/
D N.xk j m

xkC1
Q 3 ; PQ 3 ;
DN
m
xk

(8.12)

where

mskC1
;
mk C Gk .mskC1 Ak mk /
s

s
PkC1
PkC1
GkT
Q
P3 D
:
s
s
Gk PkC1
Gk PkC1
GkT C PQ 2

Q3D
m

(8.13)

Thus by Lemma A.2, the marginal distribution of xk is given as

p.xk j y1WT / D N.xk j msk ; Pks /;

(8.14)

where
msk D mk C Gk .mskC1
Pks

D Pk C

s
Gk .PkC1

Ak mk /;
Ak Pk ATk

Qk / GkT :

(8.15)

Example 8.1 (RTS smoother for Gaussian random walk) The RTS
smoother for the random walk model given in Example 4.1 is given by the
equations
mkC1 D mk ;
PkC1 D Pk C Q;
Pk
msk D mk C
.ms
mkC1 /;
PkC1 kC1
!2
P
k
s
Pks D Pk C
PkC1
PkC1 ;
PkC1

(8.16)

where mk and Pk are the updated mean and covariance from the Kalman
filter in Example 4.2. The result of applying the smoother to simulated data

138

Bayesian smoothing equations and exact solutions

6
4
2

0
2
4
6

Filter Estimate
Smoother Estimate
Filters 95% Quantiles
Smoothers 95% Quantiles

8
10
0

40
60
Time step k

100

Figure 8.1 Filter and smoother estimates in the Gaussian random

walk smoothing example (Example 8.1).

is shown in Figure 8.1. The evolution of the filter and smoother variances
is illustrated in Figure 8.2.
Example 8.2 (RTS smoother for car tracking) The backward recursion
equations required for implementing the RTS smoother for the car tracking
problem in Example 4.3 are the following:
0
1
1 0 t 0
B 0 1 0 t C
Cm ;
mkC1 D B
@ 0 0 1
0 A k
0 0 0
1
0
1
0
1T
1 0 t 0
1 0 t 0
B 0 1 0 t C
B
C
C Pk B 0 1 0 t C
PkC1 D B
@ 0 0 1
A
@
0
0 0 1
0 A
0 0 0
1
0 0 0
1
1
0 c 3
q1c t 2
q1 t
0
0
2
B 3
q2c t 3
q2c t 2 C
C
B 0
0
3
2 C;
CB
C
B q1c t 2
0
q1c t
0 A
@ 2
c
2
q2 t
0
0
q2c t
2

8.3 Two-filter smoothing

139

1
Filter Variance
Smoother Variance

0.9

Variance

0.8

0.7

0.6

0.5

0.4
0

40
60
Time step k

100

Figure 8.2 Filter and smoother variances in the Gaussian random

walk smoothing example (Example 8.1). The variance of the
smoother is always smaller than that of the filter. The only
exception is at the final step, where the variances are the same.

1
B 0
Gk D Pk B
@ 0
0

0 t
1 0
0 1
0 0

msk D mk C Gk mskC1
Pks

D Pk C

s
Gk PkC1

1T
0
t C
C P 1 ;
kC1
0 A
1
mkC1 ;
PkC1 GkT :

The terms mk and Pk are the Kalman filter means and covariance computed with the equations given in Example 4.3. It would also be possible to
store the values mkC1 and PkC1 during Kalman filtering to avoid recomputation of them in the first two equations above. The gains Gk could be
computed already during the Kalman filtering as well. The result of applying the RTS smoother to simulated data is shown in Figure 8.3.

8.3 Two-filter smoothing

An alternative approach to the RTS-style forwardbackward smoothing
is the two-filter smoothing approach. Although the approach has many
advantages, unfortunately in the non-linear case it requires construction

140

Bayesian smoothing equations and exact solutions

2
True Trajectory
Measurements
Smoother Estimate

0
2

4
6
8
10
12
4

4
x1

Figure 8.3 Simulated trajectory, measurements and the result of

RTS smoother based car tracking in Example 4.3. The starting
point is at the top of the trajectory. The RMSE position error
based on the measurements only is 0:77, the position RMSE of
the Kalman filter estimate is 0:43 and the error of the RTS
smoother is 0:27. It can be seen that the estimate is much
smoother than the result of the Kalman filter in Figure 4.5.

of artificial probability densities which ensure that the backward filter is

normalizable. Due to this challenge, in this chapter we base the smoothing
algorithms on the forwardbackward smoothing approach and only briefly
outline the idea of two-filter smoothing here.
The two-filter smoother formulations of Fraser and Potter (1969) and
Kitagawa (1994) are based on the following representation of the smoothing distribution:
p.xk j y1Wn / / p.xk j y1Wk

1 / p.ykWn

j xk /:

(8.17)

The first term on the right is just the result of the Bayesian filter just after
prediction on the step k 1. The second term on the right can be evaluated

8.3 Two-filter smoothing

141

by using the following backward recursions:

Z
p.ykC1Wn j xk / D p.ykC1Wn ; xkC1 j xk / dxkC1
Z
D p.ykC1Wn j xkC1 ; xk / p.xkC1 j xk / dxkC1
Z
D p.ykC1Wn j xkC1 / p.xkC1 j xk / dxkC1 ;
(8.18)
p.ykWn j xk / D p.ykC1Wn ; yk j xk /
D p.ykC1Wn j xk / p.yk j ykC1Wn ; xk /
D p.ykC1Wn j xk / p.yk j xk /:

(8.19)

The classical linear two-filter smoother (Fraser and Potter, 1969) can be
derived from the general equations by assuming that we have
p.ykWn j xk / / N.xk j mbk ; Pkb /;

(8.20)

for some mean mbk and covariance Pkb . This results in recursions which
resemble a Kalman filter which runs backwards in time. However, it turns
out that at the initial steps of the backward recursions the distributions are
not normalizable, because the covariances Pkb are formally singular. In the
formulation of Fraser and Potter (1969) this problem is avoided by using
the so-called information filter, which is a formulation of the Kalman filter
in terms of inverses of covariance matrices instead of the plain covariances.
Unfortunately, when starting from Equations (8.18) and (8.19), it is difficult to go beyond the linear case because, in the more general case, a
simple information filter formulation does not work. For example, there
is no Monte Carlo version of an information filter. It is indeed possible
to form reasonable approximations by forming backward dynamic models
by using, for example, the unscented transform (Wan and Van der Merwe,
2001), but in general this might not lead to good or valid approximations
(Briers et al., 2010). The key problem is that p.yRkWn j xk / is not generally
normalizable with respect to xk , that is, we have p.ykWn j xk / dxk D 1.
One solution to the problem was presented by Briers et al. (2010), who
proposed a generalized version of the two-filter smoothing formulas of
Kitagawa (1994). The solution is based on the introduction of artificial
probability densities f k .xk /g such that if p.ykWn j xk / > 0 then k .xk / >

142

Bayesian smoothing equations and exact solutions

0. The backward recursions are then replaced with the following recursions:
Z
p.xkC1 j xk / k .xk /
p.x
Q k j ykC1Wn / D p.x
Q kC1 j ykC1Wn /
dxkC1 ;
kC1 .xkC1 /
(8.21)
p.x
Q k j ykWn / D R

p.x
Q k j ykC1Wn / p.yk j xk /
;
p.x
Q k j ykC1Wn / p.yk j xk / dxk

(8.22)

where p.x
Q k j ykWn / is an auxiliary probability density such that
p.ykWn j xk / /

p.x
Q k j ykWn /
:
k .xk /

(8.23)

From this starting point it is possible to derive particle based smoothing

algorithms as well as other non-linear two-filter smoothers provided that
we can select the artificial probability densities suitably. For details, the
reader is referred to Briers et al. (2010).

8.4 Exercises
8.1
8.2

8.3

8.4

8.5

8.6

Derive the linear RTS smoother for the non-zero-mean noise model in Exercise 4.1.
Write down the Bayesian smoothing equations for finite-state HMM
models described in Exercise 4.2 assuming that the filtering distributions
p.xk j y1Wk / have already been computed.
Implement the Gaussian random walk model smoother in Example 8.1 and
compare its performance to the corresponding Kalman filter. Plot the evolution of the smoothing distribution.
The Gaussian random walk model considered in Example 4.1 also defines
a joint Gaussian prior distribution p.x0 ; : : : ; xT /. The measurement model
p.y1 ; : : : ; yT j x0 ; : : : ; xT / is Gaussian as well. Construct these distributions and compute the posterior distribution p.x0 ; : : : ; xT j y1 ; : : : ; yT /.
Check numerically that the mean and the diagonal covariance entries of this
distribution exactly match the smoother means and variances.
Form a grid-based approximation to the Gaussian random walk model
smoother in the same way as was done for the filtering equations in
Exercise 4.4. Verify that the result is practically the same as in the RTS
smoother above.
Write down the smoother equations for the Gaussian random walk model,
when the stationary filter is used as the filter. Note that the smoother becomes a stationary backward filter. Compare the performance of this stationary smoother to that of the non-stationary smoother.

Exercises
8.7

143

Implement the RTS smoother for the resonator model in Exercise 4.6. Compare its RMSE performance to the filtering and baseline solutions and plot
the results.

9
Extended and unscented smoothing

In this chapter we present the linearization, statistical linearization, and

unscented transform based RTS smoothers, which are based on analogous
approximations to the EKF, SLF, and UKF presented in Chapter 5. These
smoothers can be used for forming Gaussian approximations to the
Bayesian smoothing solutions for non-linear state space models.

9.1 Extended RauchTungStriebel smoother

The first order (i.e., linearized) extended RauchTungStriebel smoother
(ERTSS) (Cox, 1964; Sage and Melsa, 1971) can be obtained from the
basic RTS smoother equations by replacing the prediction equations with
first order approximations. Higher order extended Kalman smoothers are
also possible (see, e.g., Cox, 1964; Sage and Melsa, 1971), but only the
first order version is presented here. The ERTSS forms (or assumes) a
Gaussian approximation to the smoothing distribution as follows:
p.xk j y1WT / ' N.xk j msk ; Pks /:

(9.1)

For the additive model Equation (5.24) the extended RauchTungStriebel

smoother algorithm is the following.
Algorithm 9.1 (Extended RTS smoother) The equations for the extended
RTS smoother are
mkC1 D f .mk /;
PkC1 D Fx .mk / Pk FxT .mk / C Qk ;
Gk D Pk FxT .mk / PkC1 1 ;
msk D mk C Gk mskC1
Pks

D Pk C

s
Gk PkC1

mkC1 ;
PkC1 GkT ;

(9.2)

where the matrix Fx .mk / is the Jacobian matrix of f .x/ evaluated at mk .

144

9.1 Extended RauchTungStriebel smoother

145

The above procedure is a recursion which can be used for computing

the smoothing distribution of time step k from the smoothing distribution
of time step k C 1. Because the smoothing distribution and filtering distribution of the last time step T are the same, we have msT D mT , PTs D PT ,
and thus the recursion can be used for computing the smoothing distributions of all time steps by starting from the last step k D T and proceeding
backwards to the initial step k D 0.
Derivation Assume that the filtering distributions for the model (5.24)
are approximately Gaussian:
p.xk j y1Wk / ' N.xk j mk ; Pk /;
and we have already computed the means and covariance using the extended Kalman filter or a similar method. Further assume that the smoothing distribution of time step k C 1 is known and approximately Gaussian
s
/:
p.xkC1 j y1WT / ' N.xkC1 j mskC1 ; PkC1

As in the derivation of the prediction step of the EKF in Section 5.2, the
approximate joint distribution of xk and xkC1 given y1Wk is

xk

Q
Q
p.xk ; xkC1 j y1Wk / D N
m
;
P
(9.3)
1 1 ;
xkC1
where

mk
;
f .mk /

Pk
Pk FxT
Q
;
P1 D
Fx Pk Fx Pk FxT C Qk

Q1D
m

(9.4)

and the Jacobian matrix Fx of f .x/ is evaluated at x D mk . By conditioning on xkC1 as in the RTS derivation in Section 8.2 we get
p.xk j xkC1 ; y1WT / D p.xk j xkC1 ; y1Wk /
Q 2 ; PQ 2 /;
D N.xk j m

(9.5)

where
Gk D Pk FxT .Fx Pk FxT C Qk / 1 ;
Q 2 D mk C Gk .xkC1 f .mk //;
m
PQ 2 D Pk Gk .Fx Pk FxT C Qk / GkT :

(9.6)

Extended and unscented smoothing

146

The joint distribution of xk and xkC1 given all the data is now
p.xkC1 ; xk j y1WT / D p.xk j xkC1 ; y1WT / p.xkC1 j y1WT /

xkC1
Q
Q 3 ; P3 ;
DN
m
xk

(9.7)

where

mskC1
Q3D
m
;
mk C Gk .mskC1 f .mk //
s

s
PkC1
PkC1
GkT
Q
P3 D
:
s
s
Gk PkC1
Gk PkC1
GkT C PQ 2

(9.8)

The marginal distribution of xk is then

p.xk j y1WT / D N.xk j msk ; Pks /;

(9.9)

where
msk D mk C Gk .mskC1
Pks

D Pk C

s
Gk .PkC1

f .mk //;
Fx Pk FxT

Qk / GkT :

(9.10)

The generalization to the non-additive model (5.37) is analogous to the

filtering case we just need to replace the first two of Equations (9.2) with
their non-additive versions as in Algorithm 5.5.
Example 9.1 (Pendulum tracking with ERTSS) The result of applying the
ERTSS to the pendulum model in Example 5.1 is shown in Figure 9.1. The
resulting RMSE was 0:033, which is much lower than the error of the EKF
which was 0:12. It is also much lower than the errors of any other filters,
which were in the range 0:100:12.

9.2 Statistically linearized RauchTungStriebel smoother

The statistically linearized RauchTungStriebel smoother (SLRTSS) is
analogous to the extended RauchTungStriebel smoother, except that we
use statistical linearization instead of ordinary linearization. The statistically linearized RauchTungStriebel smoother for the additive model
(5.24) is the following.

9.2 Statistically linearized RauchTungStriebel smoother

147

5
True Angle
Measurements
ERTSS Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 9.1 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the ERTSS. The
resulting RMSE is 0:033 (recall that the RMSE of the EKF was
0:12).

Algorithm 9.2 (Statistically linearized RTS smoother) The equations for

the statistically linearized RTS smoother are
mkC1 D Ef .xk /;
PkC1 D Ef .xk / xTk Pk 1 Ef .xk / xTk T C Qk ;
Gk D Ef .xk / xTk T PkC1 1 ;
msk D mk C Gk mskC1

mkC1 ;

s
Pks D Pk C Gk PkC1

PkC1 GkT ;

(9.11)

where the expectations are taken with respect to the filtering distribution
xk N.mk ; Pk /.
The generalization to the non-additive case is also straightforward and
just amounts to replacing the first two of Equations (9.11) with their nonadditive versions as in Algorithm 5.8. In the gain computation we then also
need to average over qk .
It is also possible to use Equation (5.61) for rewriting the cross-terms
above in terms of Jacobians of f , but this is left as an exercise to the
reader. The SLRTSS can also be considered as a first order truncation of the

Extended and unscented smoothing

148
5

True Angle
Measurements
SLRTSS Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 9.2 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the SLRTSS. The
resulting RMSE is 0:028 which is slightly lower than the error of
the ERTSS (which was 0:033).

FourierHermite RauchTungStriebel smoother (FHRTSS, Sarmavuori

and Sarkka, 2012b), where this derivative version also arises naturally.
Example 9.2 (Pendulum tracking with SLRTSS) The result of applying
the SLRTSS to the pendulum model in Example 5.1 is shown in Figure 9.2.
The resulting RMSE error of 0:028 is slightly lower than the error of the
ERTSS which was 0:033. The error is also significantly lower than errors
of any of the filters, which were in the range 0:100:12.

9.3 Unscented RauchTungStriebel smoother

The unscented RauchTungStriebel smoother (URTSS, Sarkka, 2006;

Simandl
and Dunk, 2006; Sarkka, 2008) is a Gaussian approximation
based smoother where the non-linearity is approximated using the unscented transform. The smoother equations for the additive model (5.37)
are given as follows.
Algorithm 9.3 (Unscented RauchTungStriebel smoother I)
tive form unscented RTS smoother algorithm is the following.

The addi-

9.3 Unscented RauchTungStriebel smoother

149

1 Form the sigma points:

Xk.0/ D mk ;
Xk.i / D mk C
Xk.i Cn/ D mk

hp i
Pk ;
i
h
p
p i
nC
Pk ;
p

i D 1; : : : ; n;

(9.12)

where the parameter was defined in Equation (5.75).

2 Propagate the sigma points through the dynamic model:
.i /
XOkC1
D f .Xk.i / /;

i D 0; : : : ; 2n:

3 Compute the predicted mean mkC1 , the predicted covariance PkC1 , and
the cross-covariance DkC1 :
mkC1 D

2n
X

.i /
;
Wi.m/ XOkC1

i D0

PkC1 D

2n
X

.i /
Wi.c/ .XOkC1

.i /
mkC1 / .XOkC1

mkC1 /T C Qk ;

i D0

DkC1 D

2n
X

Wi.c/ .Xk.i /

.i /
mk / .XOkC1

mkC1 /T ;

(9.13)

i D0

where the weights were defined in Equation (5.77).

4 Compute the smoother gain Gk , the smoothed mean msk , and the covariance Pks as follows:
Gk D DkC1 PkC1 1 ;
msk D mk C Gk .mskC1
Pks

D Pk C

s
Gk .PkC1

mkC1 /;
PkC1 / GkT :

(9.14)

The above computations are started from the filtering result of the last
time step msT D mT , PTs D PT and the recursion runs backwards for
k D T 1; : : : ; 0.
Derivation Assume that the approximate means and covariances of the
filtering distributions are available:
p.xk j y1Wk / ' N.xk j mk ; Pk /;
and the smoothing distribution of time step k C 1 is known and approximately Gaussian:
s
p.xkC1 j y1WT / ' N.xkC1 j mskC1 ; PkC1
/:

150

Extended and unscented smoothing

An unscented transform based approximation to the optimal smoothing

solution can be derived as follows.
1 Generate an unscented transform based Gaussian approximation to the
joint distribution of xk and xkC1 :

!
Pk
DkC1
xk m k
;
p.xk ; xkC1 j y1Wk / ' N
:

T
DkC1
PkC1
xkC1 mkC1
(9.15)
This can be done by using the additive form of the unscented transformation in Algorithm 5.12 for the non-linearity xkC1 D f .xk /Cqk . This
is done in Equations (9.13).
2 Because the distribution (9.15) is Gaussian, by the computation rules of
Gaussian distributions the conditional distribution of xk is given as
Q 2 ; PQ 2 /;
p.xk j xkC1 ; y1WT / ' N.xk j m
where
Gk D DkC1 PkC1 1 ;
Q 2 D mk C Gk .xkC1 mkC1 /;
m
PQ 2 D Pk Gk PkC1 GkT :
3 The rest of the derivation is completely analogous to the derivation of
the ERTSS in Section 9.1.

The corresponding augmented version of the smoother for non-additive

models of the form (5.37) is almost the same, except that the augmented
UT in Algorithm 5.13 is used instead of the additive UT in Algorithm 5.12.
The smoother can be formulated as follows (Sarkka, 2008).
Algorithm 9.4 (Unscented RauchTungStriebel smoother II) A single
step of the augmented form unscented RTS smoother for non-additive models is as follows.

9.3 Unscented RauchTungStriebel smoother

151

1 Form the sigma points for the n0 D n C nq -dimensional augmented

random variable .xk ; qk /:
Q k;
XQk.0/ D m
QkC
XQk.i / D m
0
Qk
XQk.i Cn / D m

q
PQ k ;
q i
p
n0 C 0
PQ k ;
p

n0 C 0

i D 1; : : : ; n0 ;

(9.16)

where

mk
Qk D
m
;
0

Pk
Q
Pk D
0

0
:
Qk

2 Propagate the sigma points through the dynamic model:

.i /
XOkC1
D f .XQk.i /;x ; XQk.i /;q /;

i D 0; : : : ; 2n0 ;

where XQk.i /;x and XQk.i /;q denote the parts of the augmented sigma point
i which correspond to xk and qk , respectively.
3 Compute the predicted mean mkC1 , the predicted covariance PkC1 , and
the cross-covariance DkC1 :
0

mkC1 D

2n
X

0
.i /
Wi.m/ XOkC1
;

i D0
0

PkC1 D

2n
X

0
.i /
Wi.c/ .XOkC1

.i /
mkC1 / .XOkC1

mkC1 /T ;

i D0
0

DkC1 D

2n
X

Wi.c/ .XQk.i /;x

.i /
mk / .XOkC1

mkC1 /T ;

(9.17)

i D0
0

where the definitions of the parameter 0 and the weights Wi.m/ and
0
Wi.c/ are the same as in Section 5.5.
4 Compute the smoother gain Gk , the smoothed mean msk , and the covariance Pks :
Gk D DkC1 PkC1 1 ;

msk D mk C Gk mskC1 mkC1 ;
s

Pks D Pk C Gk PkC1
PkC1 GkT :

(9.18)

Extended and unscented smoothing

152
5

True Angle
Measurements
URTSS Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 9.3 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the URTSS. The
resulting RMSE is 0:028 which is the same as with the SLRTSS.
Recall that the RMSE of the UKF was 0:11.

Example 9.3 (Pendulum tracking with URTSS) The result of applying the
URTSS to the pendulum model in Example 5.1 is shown in Figure 9.3. The
resulting RMSE is 0:028 which is the same as for the SLRTSS and lower
than that of the ETRSS which is 0:033. Thus we get the same error with the
URTSS as with statistical linearization but without needing to compute the
analytical expectations.

9.4 Exercises
9.1
9.2

9.3
9.4

Derive and implement the extended RTS smoother to the model in Exercise 5.1 and compare the errors of filters and smoothers.
Write down the detailed derivation of the (additive form) statistically linearized RTS smoother. You can follow the same steps as in the derivation of
the extended RTS smoother.
Derive and implement the statistically linearized RTS smoother to the model
in Exercise 5.1 and compare the errors of filters and smoothers.
In Exercise 5.3 you derived an alternative (derivative) form of the SLF. Write
down the corresponding alternative form of the SLRTS. Derive the smoothing equations for the model in Exercise 9.3 above and compare the equations
that you obtain with the equations obtained in Exercise 9.3.

Exercises
9.5
9.6

153

Implement the unscented transform based RTS smoother to the model in

Exercise 5.1 and compare the errors of filters and smoothers.
Implement the RTS smoother to the bearings only target tracking problem in
Exercise 5.5. Note that even though the full model is non-linear, due to the
linear dynamic model the smoother is linear.

10
General Gaussian smoothing

As pointed out by Sarkka and Hartikainen (2010a), the unscented Rauch

TungStriebel smoother (URTSS) can be considered a special case of more
general non-linear Gaussian smoothers, in the same way as the UKF is
a special case of Gaussian filters. In this chapter we present the Gaussian smoother and GaussHermite cubature and spherical cubature integration based approximations. We also discuss Gaussian approximation based
fixed-lag and fixed-point smoothers.

10.1 General Gaussian RauchTungStriebel smoother

The Gaussian moment matching described in Section 6.1 can be used in
smoothers in an analogous manner to the Gaussian filters in Section 6.2. If
we follow the extended RTS smoother derivation in Section 9.1, we get the
following algorithm (Sarkka and Hartikainen, 2010a).
Algorithm 10.1 (Gaussian RTS smoother I) The equations of the additive
form Gaussian RTS smoother are the following:
Z
mkC1 D f .xk / N.xk j mk ; Pk / dxk ;
Z
PkC1 D f .xk / mkC1 f .xk / mkC1 T N.xk j mk ; Pk / dxk C Qk ;
Z
DkC1 D xk mk f .xk / mkC1 T N.xk j mk ; Pk / dxk ;
Gk D DkC1 PkC1 1 ;
msk D mk C Gk .mskC1

mkC1 /;

s
Pks D Pk C Gk .PkC1

PkC1 / GkT :
(10.1)

The integrals above can be approximated using analogous numerical

integration or analytical approximation schemes as in the filtering case, that
154

10.2 GaussHermite RauchTungStriebel smoother

155

is, with GaussHermite cubatures (Ito and Xiong, 2000; Wu et al., 2006),
spherical cubature rules (Arasaratnam and Haykin, 2009), or with many
other numerical integration schemes. In the non-additive case the Gaussian
smoother becomes the following (Sarkka and Hartikainen, 2010a).
Algorithm 10.2 (Gaussian RTS smoother II) The equations of the nonadditive form Gaussian RTS smoother are the following:
Z
mkC1 D f .xk ; qk / N.xk j mk ; Pk / N.qk j 0; Qk / dxk dqk ;
Z
PkC1 D f .xk ; qk / mkC1 f .xk ; qk / mkC1 T
N.xk j mk ; Pk / N.qk j 0; Qk / dxk dqk ;
Z
DkC1 D

mk f .xk ; qk /

mkC1 T

N.xk j mk ; Pk / N.qk j 0; Qk / dxk dqk ;

Gk D DkC1 PkC1 1 ;
msk D mk C Gk .mskC1
Pks

D Pk C

s
Gk .PkC1

mkC1 /;
PkC1 / GkT :

(10.2)

As in the Gaussian filtering case, the above algorithms are mainly theoretical, because the integrals can be solved in closed form only in special
cases.

10.2 GaussHermite RauchTungStriebel smoother

By using the GaussHermite cubature integration approximation from Section 6.3 in the additive form Gaussian RTS smoother, we get the following
GaussHermite RauchTungStriebel smoother (GHRTSS) algorithm.
Algorithm 10.3 (GaussHermite RauchTungStriebel smoother) The
additive form GaussHermite RTS smoother algorithm is the following.
1 Form the sigma points as
p
Xk.i1 ;:::;in / D mk C Pk .i1 ;:::;in / ;

i1 ; : : : ; in D 1; : : : ; p; (10.3)

where the unit sigma points .i1 ;:::;in / were defined in Equation (6.24).
2 Propagate the sigma points through the dynamic model:
.i1 ;:::;in /
XOkC1
D f .Xk.i1 ;:::;in / /;

i1 ; : : : ; in D 1; : : : ; p:

(10.4)

General Gaussian smoothing

156

3 Compute the predicted mean mkC1 , the predicted covariance PkC1 , and
the cross-covariance DkC1 :
X
.i1 ;:::;in /
mkC1 D
Wi1 ;:::;in XOkC1
;
i1 ;:::;in

PkC1 D

.i1 ;:::;in /
Wi1 ;:::;in .XOkC1

.i1 ;:::;in /
mkC1 / .XOkC1

Wi1 ;:::;in .Xk.i1 ;:::;in /

.i1 ;:::;in /
mk / .XOkC1

mkC1 /T C Qk ;

i1 ;:::;in

DkC1 D

mkC1 /T ;

i1 ;:::;in

(10.5)
where the weights Wi1 ;:::;in were defined in Equation (6.23).
4 Compute the gain Gk , mean msk and covariance Pks as follows:
Gk D DkC1 PkC1 1 ;
msk D mk C Gk .mskC1
Pks

D Pk C

s
Gk .PkC1

mkC1 /;
PkC1 / GkT :

(10.6)

It would also be possible to formulate a non-additive version of the

above smoother analogously, but due to unpleasant exponential computational scaling of the GaussHermite cubature method in the state dimension, that extension is not very useful in practice. Recall that the state dimension doubles when using the non-additive transform, because we need
to integrate over the state and process noise jointly.
Example 10.1 (Pendulum tracking with GHRTSS) The result of applying
GHRTSS to the pendulum model in Example 5.1 is shown in Figure 10.1.
The resulting RMSE error is 0:028, which is the same as what we obtained
with the SLRTS and URTSS. Recall that the error of the ERTSS was a bit
higher, 0:033. However, it seems that using the higher order integration
method does not really help much in this particular problem, as we already
concluded when comparing the performance of the GHKF to the other
filters in this same problem.

10.3 Cubature RauchTungStriebel smoother

By using the third order spherical cubature approximation (Section 6.5) to
the additive form Gaussian RTS smoother, we get the following cubature
RauchTungStriebel smoother (CRTSS) algorithm (see Arasaratnam and
Haykin, 2011).

10.3 Cubature RauchTungStriebel smoother

157

5
True Angle
Measurements
GHRTSS Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 10.1 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the GHRTSS. The
resulting RMSE is 0:028, which is the same as with the other
smoothers encountered so far (except the ERTSS which had error
0:033).

Algorithm 10.4 (Cubature RauchTungStriebel smoother I)

tive form cubature RTS smoother algorithm is the following.

The addi-

1 Form the sigma points:

Xk.i / D mk C

Pk .i / ;

i D 1; : : : ; 2n;

where the unit sigma points are defined as

(p
n ei ;
i D 1; : : : ; n;
.i /
D
p
n ei n ; i D n C 1; : : : ; 2n;

(10.7)

(10.8)

where ei denotes a unit vector in the direction of the coordinate axis i.

2 Propagate the sigma points through the dynamic model:
.i /
XOkC1
D f .Xk.i / /;

i D 1; : : : ; 2n:

General Gaussian smoothing

158

3 Compute the predicted mean mkC1 , the predicted covariance PkC1 , and
the cross-covariance DkC1 :
2n

mkC1 D

1 X O .i /
X ;
2n iD1 kC1

PkC1 D

1 X O .i /
.X
2n iD1 kC1

DkC1 D

1 X .i /
.X
2n iD1 k

.i /
mkC1 / .XOkC1

mkC1 /T C Qk ;

.i /
mk / .XOkC1

mkC1 /T :

(10.9)

4 Compute the gain Gk , mean msk and covariance Pks as follows:

Gk D DkC1 PkC1 1 ;
msk D mk C Gk .mskC1

mkC1 /;

s
Pks D Pk C Gk .PkC1

PkC1 / GkT :

(10.10)

By using the third order spherical cubature approximation to the nonadditive form Gaussian RTS smoother, we get the following algorithm.
Algorithm 10.5 (Cubature RauchTungStriebel smoother II) A single
step of the augmented form cubature RTS smoother is as follows.
1 Form the sigma points for the n0 D n C nq -dimensional augmented
random variable .xk ; qk /:
q
0
.i /
Q
Q k C PQ k .i / ;
Xk D m
i D 1; : : : ; 2n0 ;
(10.11)
where
Qk D
m

mk
;
0

Pk
PQ k D
0

0
:
Qk

2 Propagate the sigma points through the dynamic model:

.i /
XOkC1
D f .XQk.i /;x ; XQk.i /;q /;

i D 1; : : : ; 2n0 ;

Q .i /;q denote the parts of the augmented sigma point i

where XQk.i /;x and X
k
which correspond to xk and qk , respectively.

10.4 General fixed-point smoother equations

159

3 Compute the predicted mean mkC1 , the predicted covariance PkC1 , and
the cross-covariance DkC1 :
0

mkC1

2n
1 X O .i /
X ;
D 0
2n i D1 kC1

PkC1

2n
1 X O .i /
D 0
.X
2n i D1 kC1

DkC1

2n
1 X Q .i /;x
.X
D 0
2n i D1 k

.i /
mkC1 / .XOkC1

mkC1 /T ;

.i /
mk / .XOkC1

mkC1 /T :

(10.12)

4 Compute the gain Gk , mean msk , and covariance Pks :

Gk D DkC1 PkC1 1 ;
msk D mk C Gk mskC1
s
Pks D Pk C Gk PkC1

mkC1 ;

PkC1 GkT :

(10.13)

It is easy to see that the above algorithms are indeed special cases of the
URTSS methods with parameters D 1, D 0, D 0. However, this
particular selection of parameters tends to work well in practice and due
to the simplicity of sigma-point and weight selection rules, the method is
very simple to implement.
Example 10.2 (Pendulum tracking with CRTSS) The result of applying
the CRTSS for the pendulum model in Example 5.1 is shown in Figure 10.2.
As expected, the error 0:028 and the overall result are practically identical
to the result of the URTSS, as well as to the SLRTSS and GHRTSS.

10.4 General fixed-point smoother equations

The smoother algorithms that we have considered this far have all been
fixed-interval smoothing algorithms, which can be used for computing estimates of a fixed time interval of states given the measurements on the
same interval. However, there exist a couple of other types of smoothing
problem as well.
Fixed-point smoothing refers to a methodology which can be used for
efficiently computing the optimal estimate of the initial state or some
other fixed-time state of a state space model, given an increasing number
of measurements after it. This kind of estimation problem arises, for
example, in estimation of the state of a spacecraft at a given point of time

General Gaussian smoothing

160
5

True Angle
Measurements
CRTSS Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 10.2 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the CRTSS. The
resulting RMSE is 0:028, which is the same as with the other
Gaussian approximation based non-linear RTS smoothers, except
the ETRSS.

in the past (Meditch, 1969) or in alignment and calibration of inertial

navigation systems (Grewal et al., 1988).
Fixed-lag smoothing is a methodology for computing delayed estimates
of state space models given measurements up to the current time and a
constant horizon in the future. Fixed-lag smoothing can be considered
as optimal filtering, where a constant delay is tolerated in the estimates.
Potential applications of fixed-lag smoothing are all the problems where
optimal filters are typically applied, and where the small delay is tolerated. An example of such application is digital demodulation (Tam et al.,
1973).
The presentation here is based on the results presented in Sarkka and Hartikainen (2010a), except that the derivations are presented in a bit more
detail than in the original reference.
The general fixed-interval RTS smoothers described in this book have
the property that, given the gain sequence, we only need linear operations
for performing the smoothing and, in this sense, the smoothing is a completely linear operation. The only non-linear operations in the smoother are
in the approximations of the Gaussian integrals. However, these operations

10.4 General fixed-point smoother equations

161

are performed on the filtering results and thus we can compute the smoothing gain sequence Gk from the filtering results in a causal manner. Because
of these properties we may now derive a fixed-point smoother using similar methods as have been used for deriving the linear fixed-point smoother
from the linear RauchTungStriebel smoother in Meditch (1969).
We will now denote the smoothing means and covariances using notation of the type mkjn and Pkjn , which refer to the mean and covariance of
the state xk , which is conditioned to the measurements y1 ; : : : ; yn . With
this notation, the filter estimates are mkjk , Pkjk and the RTS smoother estimates, which are conditioned to the measurements y1 ; : : : ; yT , have the
form mkjT , PkjT . The RTS smoothers have the following common recursion equations:
Gk D DkC1 PkC1jk 1 ;

mkC1jk ;

PkC1jk GkT ;

mkjT D mkjk C Gk mkC1jT

PkjT D Pkjk C Gk PkC1jT

(10.14)

which are indeed linear recursion equations for the smoother mean and covariance. Note that the gains Gk depend only on the filtering results, not on
the smoother mean and covariance. Because the gains Gk are independent
of T , from Equations (10.14) we get for i D j; : : : ; k the identity
mi ji D Gi miC1jk

mi jk

Similarly, for i D j; : : : ; k
mijk

miC1ji :

1 we have

mi ji D Gi miC1jk

(10.15)

mi C1ji :

(10.16)

1 :

(10.17)

Subtracting these equations gives the identity

mi jk

By varying i from j to k
mj jk
mj C1jk

D Gi miC1jk

mi C1jk

1 we get the identities

mj jk

D Gj mj C1jk

mj C1jk

D Gj C1 mj C2jk

mj C1jk

1 ;

mj C2jk

1 ;

::
:
mk

1jk

1jk 1

D Gk

1 mkjk

mkjk

1 :

(10.18)

If we sequentially substitute the above equations to each other starting from

the last and proceeding to the first, we get the equation
mj jk D mj jk

C Bj jk mkjk

mkjk

1 ;

(10.19)

General Gaussian smoothing

162

where
Bj jk D Gj Gk

(10.20)

Analogously, for the covariance we get

Pj jk D Pj jk

C Bj jk Pkjk

Pkjk

T
1 Bj jk :

(10.21)

Algorithm 10.6 (General Gaussian fixed-point smoother) The general

Gaussian fixed-point smoother algorithm for smoothing the time point j
can be implemented by performing the following operations at each time
step k D 1; 2; 3; : : :
1 Gain computation: Compute the predicted mean mkjk 1 , predicted covariance Pkjk 1 and cross-covariance Dk from the filtering results. Then
compute the gain from the equation
Gk

D Dk Pkjk

(10.22)

2 Fixed-point smoothing:
(a) If k < j , just store the filtering result.
(b) If k D j , set Bj jj D I. The fixed-point smoothed mean and covariance on step j are equal to the filtered mean and covariance mj jj
and Pj jj .
(c) If k > j , compute the smoothing gain and the fixed-point smoother
mean and covariance:
Bj jk D Bj jk

1 Gk 1 ;

mj jk D mj jk

Pj jk D Pj jk

C Bj jk mkjk
C Bj jk Pkjk

mkjk
Pkjk

1 ;

T
1 Bj jk :

(10.23)

Because only a constant number of computations is needed on each time

step, the algorithm can be easily implemented in real time.

10.5 General fixed-lag smoother equations

It is also possible to derive a general fixed-lag smoother by using a similar
procedure as in the previous section. However, this approach will lead to a
numerically unstable algorithm, as we will see shortly. Let n be the number
of lags. From the fixed-point smoother we get
mk

n 1jk

D mk
C Bk

n 1jk 1
n 1jk mkjk

mkjk

1 :

(10.24)

10.5 General fixed-lag smoother equations

163

From the fixed-interval smoother we get

n 1jk

D mk

n 1jk n 1

C Gk

1 n mk njk

njk n 1 :

(10.25)

Equating the right-hand sides, and solving for mk njk while remembering
the identity Bk njk D Gk 1n 1 Bk n 1jk results in the smoothing equation
mk

njk

D mk
C Gk
C Bk

njk n 1

n 1 mk n 1jk 1

njk mkjk

mkjk

n 1jk n 1

1 :

(10.26)

Similarly, for covariance we get

njk

D Pk
C Gk
C Bk

njk n 1
1

n 1 Pk n 1jk 1

njk Pkjk

Pkjk

T
n 1jk n 1 Gk n 1

T
1 Bk njk :

(10.27)

Equations (10.26) and (10.27) can, in principle, be used for recursively

computing the fixed-lag smoothing solution. The number of computations
does not depend on the lag length. This solution can be seen to be of
the same form as the fixed-lag smoother given in Rauch (1963), Meditch
(1969), and Crassidis and Junkins (2004). Unfortunately, it has been shown
(Kelly and Anderson, 1971) that this form of smoother is numerically unstable and thus not usable in practice. However, sometimes the equations
do indeed work and can be used if the user is willing to take the risk of
potential instability.
Moore (1973) and Moore and Tam (1973) have derived stable algorithms
for optimal fixed-lag smoothing by augmenting the n lagged states to a
Kalman filter. This approach ensures the stability of the algorithm. Using
certain simplifications it is possible to reduce the computations, and this
is also possible when certain types of extended Kalman filters are used
(Moore, 1973; Moore and Tam, 1973). Unfortunately, such simplifications
cannot be done in the more general case and, for example, when the unscented transformation (Julier et al., 1995, 2000) or a quadrature rule (Ito
and Xiong, 2000) is used, the required number of computations becomes
high, because the Cholesky factorization of the whole joint covariance of
the n lagged states would be needed in the computations. Another possibility, which is employed here, is to take advantage of the fact that Rauch
TungStriebel smoother equations are numerically stable and can be used
for fixed-lag smoothing. The fixed-lag smoothing can be efficiently implemented by taking into account that the gain sequence needs to be evaluated

164

General Gaussian smoothing

only once, and the same gains can be used in different smoothers operating
on different intervals.
Algorithm 10.7 (General Gaussian fixed-lag smoother) Thus the general
Gaussian fixed-lag smoother can be implemented by performing the following on each time step k D 1; 2; 3; : : :
1 Gain computation: During the Gaussian filter prediction step compute
and store the predicted mean mkjk 1 , predicted covariance Pkjk 1 and
cross-covariance Dk . Also compute and store the smoothing gain
Gk

D Dk Pkjk

(10.28)

2 Fixed-lag smoothing: Using the stored gain sequence, compute the

smoothing solutions for steps j D k n; : : : ; k using the following
backward recursion, starting from the filtering solution on step j D k:

mj jk D mj jj C Gj mj C1jk mj C1jj ;

(10.29)
Pj jk D Pj jj C Gj Pj C1jk Pj C1jj GjT :
The required number of computations per time step grows linearly with
the length of lag. Thus the computational requirements are comparable to
the algorithms presented in Moore (1973) and Moore and Tam (1973). The
algorithm defined in Equations (10.26) and (10.27) would be computationally more efficient but, as already stated, it would be numerically unstable.

10.6 Exercises
10.1

10.2

Implement the third order spherical cubature integration based RTS

smoother for the model in Exercise 5.1 and compare the errors of the filters
and smoothers.
Implement a fixed point smoother (you can choose the brand freely) for
inferring the initial state of the above model. Check that the result matches
the corresponding RTS smoother result and plot the error as a function of
time steps.

11
Particle smoothing

When smoothing solutions to non-linear/non-Gaussian problems are

sought, Gaussian approximations might not lead to accurate enough
approximations. In that case it is better to use Monte Carlo (particle)
approximations which in principle can be used for approximating arbitrary
smoothing distributions. Although the same SIR algorithm which is
used for particle filtering provides an approximation to the smoothing
distribution as a by-product, it does not yet solve the problem of particle
smoothing. The challenge is that the resulting approximation tends to
be degenerate. For this reason other types of particle smoothers have
been developed and here we present the most commonly used ones, the
backward-simulation smoother and the reweighting based (marginal)
particle smoother.

11.1 SIR particle smoother

The SIR particle smoother (SIR-PS) of Kitagawa (1996) is based on direct
usage of the SIR for smoothing. Recall that in Section 7.3 we derived the
sequential importance sampling (SIS) method to approximate the full posterior distribution, not just the filtering distributions. We then discarded the
sample histories x.i0Wk/ 1 and only kept the current states x.ik / , because we
were interested in the filtering distributions. But we can get an approximation to the smoothing distribution by keeping the full histories. To get the
smoothing solution from sequential importance resampling (SIR) we also
need to resample the state histories, not only the current states, to prevent
the resampling from breaking the state histories. The resulting algorithm is
the following.
Algorithm 11.1 (SIR particle smoother) The direct sequential importance resampling (SIR) based smoother algorithm is the following.

165

Particle smoothing

166

Draw N samples x.i0 / from the prior:

x.i0 / p.x0 /;

i D 1; : : : ; N;

(11.1)

and set w0.i / D 1=N , for all i D 1; : : : ; N . Initialize the state histories
to contain the prior samples x.i0 / .
For each k D 1; : : : ; T do the following:
1 Draw N new samples x.ik / from the importance distributions:
x.ik / .xk j x.ik / 1 ; y1Wk /;

i D 1; : : : ; N;

(11.2)

where x.ik / 1 is the k 1th (last) element in the sample history x.i0Wk/
2 Calculate the new weights according to
wk.i /

p.yk
wk.i / 1

j x.ik / / p.x.ik / j x.ik / 1 /

.x.ik / j x.ik / 1 ; y1Wk /

(11.3)

and normalize them to sum to unity.

3 Append the samples to the state histories:
x.i0Wk/ D .x.i0Wk/

.i /
1 ; xk /:

(11.4)

4 If the effective number of particles (7.27) is too low, perform resampling on the state histories.
The approximation to the full posterior (smoothed) distribution is (Kitagawa, 1996; Doucet et al., 2000)
p.x0WT j y1WT /

N
X

wT.i / .x0WT

x.i0WT/ /:

(11.5)

i D1

The approximation to the smoothed posterior distribution at time step k,

given the measurements up to the time step T > k, is
p.xk j y1WT /

N
X

wT.i / .xk

x.ik / /;

(11.6)

i D1

where x.ik / is the kth component in x.i0WT/ . However, if T k the direct SIR
smoother algorithm is known to produce very degenerate approximations
(Kitagawa, 1996; Doucet et al., 2000).

11.2 Backward-simulation particle smoother

167

11.2 Backward-simulation particle smoother

A less degenerate particle smoother than the SIR particle smoother can be
obtained by reusing the filtering results instead of simply storing the full
particle histories in SIR. The backward-simulation particle smoother (BSPS) of Godsill et al. (2004) is based on simulation of individual trajectories
backwards, starting from the last step and proceeding to the first. The algorithm is the following.
Algorithm 11.2 (Backward-simulation particle smoother) Given the
weighted set of particles fwk.i / ; x.ik / W i D 1; : : : ; N; k D 1; : : : ; T g
representing the filtering distributions:
Q T D x.iT / with probability wT.i / .
Choose x
For k D T 1; : : : ; 0:
1 Compute new weights by
.i /
/ wk.i / p.QxkC1 j x.ik / /:
wkjkC1

(11.7)

.i /
Q k D x.ik / with probability wkjkC1
2 Choose x
.

Q kC1WT
Derivation Assume that we have already simulated a trajectory x
from the smoothing distribution. By using Equation (8.3) we get
p.QxkC1 j xk / p.xk j y1Wk /
p.QxkC1 j y1Wk /
D Z p.QxkC1 j xk / p.xk j y1Wk /;

Q kC1 ; y1WT / D
p.xk j x

(11.8)

where Z is a normalization constant. By substituting the SIR filter approximation in Equation (7.31) we get
X .i /
Q kC1 ; y1WT / Z
p.xk j x
wk p.QxkC1 j xk / .xk x.ik / /: (11.9)
i

We can now draw a sample from this distribution by sampling x.ik / with
probability / wk.i / p.QxkC1 j x.ik / /.
Given S iterations of Algorithm 11.2, resulting in sample trajectories
/
Q .j
x
0WT for j D 1; : : : ; S , the smoothing distribution can now be approximated as
1X
/
Q .j
p.x0WT j y1WT /
.x0WT x
(11.10)
0WT /:
S j
The marginal distribution samples for a step k can be obtained by extracting the kth components from the above trajectories. The computational

Particle smoothing

168
5

True Angle
Measurements
PS Estimate

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 11.1 Simulated pendulum data and the result of tracking

the pendulum described in Example 5.1 with the backwardsimulation smoother. The resulting RMSE is 0:028 which is the
same as with the non-linear Gaussian RTS smoothers (all of them
had RMSE 0:028, except the ERTSS which had 0:033). Recall
that the RMSE of the bootstrap filter was 0:12 and thus the
smoother reduces the error significantly.

complexity of the method is O.S T N /. However, the result is much less

degenerate than that of the particle smoother of Kitagawa (1996). Under
suitable conditions, it is also possible to reduce the number of computations to linear in the number of particles by implementing the backward
simulation using rejection sampling (Douc et al., 2011).
Example 11.1 (Pendulum tracking with BS-PS) The result of applying
the backward-simulation smoother with 100 samples (with the bootstrap
filter with 10 000 samples as the filter part) to the pendulum model in
Example 5.1 is shown in Figure 11.1. The RMSE error 0:028 is smaller than
the RMSE of the ERTSS, which was 0:033, and the same as the errors of the
other Gaussian approximation based RTS smoothers, which all were 0:028.
As already concluded in Example 7.1 the use of particle approximations is
not really beneficial in this particular model.
Example 11.2 (Cluttered pendulum tracking with BS-PS) The result of
applying the backward-simulation smoother with 100 samples (with the

11.3 Reweighting particle smoother

169

5
True Angle
Measurements
PS Estimate
GHRTSS with True R
GHRTSS with Increased R

Pendulum angle x1,k

3
2
1
0
1
2
3
0.5

1.5

2.5
3
Time t

3.5

4.5

Figure 11.2 Smoothing results for cluttered pendulum tracking

with particle smoother, a GHRTSS with no clutter model, and a
GHRTSS with artificially increased process noise. The RMSE
errors of the methods were 0:028, 3:36, and 0:74, respectively.

bootstrap filter with 10 000 samples as the filter part) to the cluttered
pendulum model in Example 7.2 is shown in Figure 11.2. The RMSE error of the particle smoother was 0:028. The RMSE of a GHRTSS without any clutter model was 3:36 and the RMSE of a GHRTSS with artificially increased measurement noise was 0:74. Thus in this case the particle
smoother gives a significant improvement over the Gaussian approximation based smoothers.

11.3 Reweighting particle smoother

The reweighting particle smoother of Hurzeler and Kunsch (1998) and
Doucet et al. (2000), which is also called the marginal particle smoother,
is based on computing new weights for the SIR filtering particles such that
we get an approximation to the smoothing distribution.
Algorithm 11.3 (Reweighting particle smoother) Given the weighted set
of particles fwk.i / ; x.ik / W i D 1; : : : ; N g representing the filtering distribution, we can form approximations to the marginal smoothing distributions
as follows.

Particle smoothing

170

/
Start by setting wT.ijT
D wT.i / for i D 1; : : : ; N .
For each k D T 1; : : : ; 0 compute new weights by
.i /
wkjT
D

X
j

/
.i /
w .i / p.x.j
.j /
kC1 j xk /
i:
hP k
wkC1jT
.l/
.j /
.l/
l wk p.xkC1 j xk /

(11.11)

At each step k the marginal smoothing distribution can be approximated

as
X .i /
p.xk j y1WT /
wkjT .xk x.ik / /:
(11.12)
i

Derivation Assume that we have already computed the weights for the
/
following approximation, where the particles x.ikC1
are from the SIR filter:
X .i /
/
p.xkC1 j y1WT /
wkC1jT .xkC1 x.ikC1
/:
(11.13)
i

The integral in the second of Equations (8.2) can be now approximated as

Z
p.xkC1 j xk / p.xkC1 j y1WT /
dxkC1
p.xkC1 j y1Wk /
Z
i
p.xkC1 j xk / X h .i /
/

wkC1jT .xkC1 x.ikC1
/ dxkC1
p.xkC1 j y1Wk / i
D

X
i

.i /
wkC1jT

/
p.x.ikC1
j xk /
/
p.x.ikC1
j y1Wk /

(11.14)

By using SIR filter approximation in Equation (7.31) we get the following

approximation for the predicted distribution in the denominator:
X .j /
/
wk p.xkC1 j x.j
(11.15)
p.xkC1 j y1Wk /
k /;
j

which gives
Z

p.xkC1 j y1WT / p.xkC1 j xk /

dxkC1
p.xkC1 j y1Wk /
/
X .i /
p.x.ikC1
j xk /
i:

wkC1jT hP
.j /
.i /
.j /
w
p.x
j
x
/
i
j
k
kC1
k

(11.16)

11.4 RaoBlackwellized particle smoothers

171

By substituting the SIR filter approximation and the approximation above

to the Bayesian optimal smoothing equation we get
p.xk j y1WT /
Z
D p.xk j y1Wk /

wk.l/ .xk

p.xkC1 j xk / p.xkC1 j y1WT /
dxkC1
p.xkC1 j y1Wk /
/
X .i /
p.x.ikC1
j x.l/
k /
i;
h
/
w
x.l/
kC1jT P
k
.j /
.i /
.j /
w
p.x
j
x
/
i
j
k
kC1
k
(11.17)

where we can identify the weights as

.l/
wkjT
D

X
i

/
w .l/ p.x.ikC1
j x.l/
.i /
k /
i:
hP k
wkC1jT
.j /
.i /
.j /
w
p.x
j
x
/
j
k
kC1
k

(11.18)

The computational complexity of the method is O.T N 2 /, that is, the

same as of the backward-simulation smoother with S D N simulated
trajectories.

11.4 RaoBlackwellized particle smoothers

RaoBlackwellized particle smoothers (RBPS) can be used for computing
approximate smoothing solutions to the conditionally Gaussian models defined in Equation (7.36). A simple way to implement an RBPS is to store
the histories instead of the single states in the RBPF, as in the case of the
SIR particle smoother (Algorithm 11.1). The corresponding histories of the
means and the covariances are then conditional on the latent variable histories u0WT . However, the means and covariances at time step k are only
conditional on the measurement histories up to k, not on the later measurements. In order to correct this, RTS smoothers have to be applied to each
history of the means and the covariances.
Algorithm 11.4 (RaoBlackwellized SIR particle smoother) A set of
/
s;.i /
s;.i /
weighted samples fwTs;.i / ; us;.i
0WT ; m0WT ; P0WT W i D 1; : : : ; N g representing
the smoothed distribution can be computed as follows.
1 Compute the weighted set of RaoBlackwellized state histories
.i /
fwT.i / ; u.i0WT/ ; m.i0WT/ ; P0WT
W i D 1; : : : ; N g

(11.19)

172

Particle smoothing

by storing histories in the RaoBlackwellized particle filter analogously

to the SIR particle smoother in Algorithm 11.1.
2 Set
wTs;.i / D wT.i / ;
/
.i /
us;.i
0WT D u0WT :

(11.20)

3 Apply the RTS smoother to each of the mean and covariance histories
.i /
m.i0WT/ ; P0WT
for i D 1; : : : ; N to produce the smoothed mean and covari/
s;.i /
ance histories ms;.i
0WT ; P0WT .
The RaoBlackwellized particle smoother in this simple form also has
the same disadvantage as the SIR particle smoother, that is, the smoothed
estimate of uk can be quite degenerate if T k. Fortunately, the smoothed
estimates of the actual states xk can still be relatively good, because their
degeneracy is avoided by RaoBlackwellization.
To avoid the degeneracy in estimates of uk it is possible to use
better sampling procedures for generating samples from the smoothing
distributions analogously to the plain particle smoothing. The backwardsimulation has indeed been generalized to the RaoBlackwellized case,
but the implementation of the RaoBlackwellized reweighting smoother
seems to be quite problematic. The RaoBlackwellized backwardsimulation smoother (see Sarkka et al., 2012a) can be used for drawing
backward trajectories from the marginal posterior of the latent variables
uk and the posterior of the conditionally Gaussian part is obtained via
Kalman filtering and RTS smoothing. Another option is to simulate
backward trajectories from the joint distribution of .xk ; uk / (Fong et al.,
2002; Lindsten, 2011). However, this approach does not really lead to
RaoBlackwellized estimates of the smoothing distribution, because the
Gaussian part of the state is sampled as well.
It is also possible to construct approximate RaoBlackwellized
backward-simulation smoothers by using Kims approximation (see Kim,
1994; Barber, 2006; Sarkka et al., 2012a)
Z
p.uk j ukC1 ; xkC1 ; y1Wk / p.xkC1 j ukC1 ; y1WT / dxkC1
' p.uk j ukC1 ; y1Wk /:

(11.21)

The result is an algorithm where we first apply the backward-simulation

smoother in the Algorithm 11.2 to the marginal samples of uk alone, that
is, we simply use p.ukC1 j uk / instead of p.xkC1 j xk / in the algorithm. Given a trajectory of the non-Gaussian variable, the linear Gaussian

11.5 Exercises

173

part may be recovered with a Kalman filter and RTS smoother. However,
this procedure is only an approximation and does not lead to a true Rao
Blackwellized Monte Carlo representation of the smoothing distribution.

11.5 Exercises
11.1

11.2
11.3

Implement the backward-simulation smoother for the model in Exercise 5.1 and compare its performance to the Gaussian approximation based
smoothers.
Implement the reweighting smoother for the model in Exercise 5.1 and compare its performance to the other smoothers.
Show that the latent variable sequence in conditionally Gaussian models is
not Markovian in general in the sense that
p.uk j ukC1 ; y1WT / p.uk j ukC1 ; y1Wk /

11.4
11.5

(11.22)

when T > k, and thus simple backward smoothing in uk does not lead to
the correct result.
Implement the RaoBlackwellized SIR particle smoother for the clutter
model in Exercise 7.5.
Lets again consider the clutter model in Exercise 7.5. Assume that you have
implemented the filter as a RaoBlackwellized particle filter with resampling at every step (thus the weights are all equal). Write down the algorithm for the Kims approximation based backward simulation smoother for
the model. What peculiar property does the smoother have? Does this have
something to do with the property in Equation (11.22)?

12
Parameter estimation

In the previous chapters we have assumed that the parameters of the state
space model are known and only the state needs to be estimated. However,
in practical models, the parameters are unknown as well. In this chapter
we concentrate on three types of method for parameter estimation: optimization based methods for computing maximum a posteriori (MAP)
or maximum likelihood (ML) estimates, expectation-maximization (EM)
algorithms for computing the MAP or ML estimates, and Markov chain
Monte Carlo (MCMC) methods for generating Monte Carlo approximations of the posterior distributions. We also show how Kalman filters and
RTS smoothers, Gaussian filters and smoothers, as well as particle filters
and smoothers can be used for approximating the marginal likelihoods, parameter posteriors, and other quantities needed by the methods.

12.1 Bayesian estimation of parameters in state space models

The Bayesian way of treating unknown parameters 2 Rd is to model
them as random variables with a certain prior distribution p./. A state
space model with unknown parameters can be written in the form
p./;
x0 p.x0 j /;
xk p.xk j xk

1 ; /;

yk p.yk j xk ; /:

(12.1)

A straightforward way to proceed would now be to form the full posterior

distribution via Bayes rule:
p.x0WT ; j y1WT / D

p.y1WT j x0WT ; / p.x0WT j / p./

;
p.y1WT /

174

(12.2)

12.1 Bayesian estimation of parameters in state space models 175

where the terms p.x0WT j / and p.y1WT j x0WT ; / can be computed as
p.x0WT j / D p.x0 j /

T
Y

p.xk j xk

1 ; /;

kD1

p.y1WT j x0WT ; / D

T
Y

p.yk j xk ; /:

kD1

If we are only interested in the parameters , the proper Bayesian way

to proceed is to integrate the states out, which gives the marginal posterior
of parameters:
Z
p. j y1WT / D p.x0WT ; j y1WT / dx0WT :
(12.3)
Unfortunately, computation of this high-dimensional integral is hard and
becomes even harder as we obtain more measurements. In this approach
we encounter the same computational problem as was discussed in Sections 1.3 and 4.1, which led us to consider optimal filtering and smoothing
instead of the straightforward Bayesian approach. Thus it is again advantageous to look at recursive, filtering, and smoothing kinds of solution.
In this chapter we present methods for parameter estimation which are
based on approximating the marginal posterior distribution
p. j y1WT / / p.y1WT j / p./;

(12.4)

without explicitly forming the joint posterior distribution of the states and
parameters as in Equation (12.2). Instead, we present recursive algorithms
for direct computation of the above distribution. For linear state space models, this can be done exactly, and in non-linear and non-Gaussian models
we can use Gaussian filtering or particle filtering based approximations.
Once we know how to evaluate the above distribution, we can estimate the
parameters, for example, by finding their maximum a posteriori (MAP) estimate or by sampling from the posterior by Markov chain Monte Carlo
(MCMC) methods. If the direct evaluation of the distribution is not feasible, we can use the expectation maximization (EM) algorithm for iteratively finding the ML or MAP estimate.

12.1.1 Parameter posterior and energy function

The difficult part in Equation (12.4) is the evaluation of the marginal likelihood p.y1WT j /. The prior distribution can usually be selected such that

Parameter estimation

176

it is easy to evaluate. Although evaluation of the normalization constant

for the posterior distribution is a difficult problem, its evaluation is usually
avoided by Bayesian computational methods and thus we do not need to
worry about it.
The key to recursive computation of the parameter posterior in state
space models is the following factorization (often called prediction error
decomposition):
p.y1WT j / D

T
Y

p.yk j y1Wk

1 ; /;

(12.5)

kD1

where we have denoted p.y1 j y1W0 ; / , p.y1 j / for notational convenience. Because each of the terms in the above product can be computed
recursively, the whole marginal likelihood can be computed recursively as
follows.
Theorem 12.1 (Recursion for marginal likelihood of parameters) The
marginal likelihood of parameters is given by Equation (12.5), where the
terms in the product can be computed recursively as
Z
p.yk j y1Wk 1 ; / D p.yk j xk ; / p.xk j y1Wk 1 ; / dxk ;
(12.6)
where p.yk j xk ; / is the measurement model and p.xk j y1Wk 1 ; / is
the predictive distribution of the state, which obeys the recursion
Z
p.xk j y1Wk 1 ; / D p.xk j xk 1 ; / p.xk 1 j y1Wk 1 ; / dxk 1
p.xk j y1Wk ; / D

p.yk j xk ; / p.xk j y1Wk

p.yk j y1Wk 1 ; /

1 ; /

:
(12.7)

Note that the latter equations are just the Bayesian filtering Equations (4.11) and (4.12), where we have explicitly written down the
parameter dependence.
Proof Due to the conditional independence of the measurements (Property 4.2) we have
p.yk ; xk j y1Wk

1 ; /

D p.yk j xk ; y1Wk

1 ; / p.xk

D p.yk j xk ; / p.xk j y1Wk

Integrating over xk gives Equation (12.6).

j y1Wk
1 ; /:

1 ; /

(12.8)

12.2 Computational methods for parameter estimation

177

The marginal likelihood obtained via Theorem 12.1 can then be substituted into Equation (12.4) to give the marginal posterior distribution of
the parameters. However, instead of working with marginal likelihood or
marginal posterior explicitly, in parameter estimation, it is often convenient
to define the unnormalized negative log-posterior or energy function as follows.
Definition 12.1 (Energy function)
'T ./ D

log p.y1WT j /

log p./:

(12.9)

Remark 12.1 The definition of energy function thus implies

p. j y1WT / / exp. 'T .//:

(12.10)

The energy function can be seen to obey the following simple recursion.
Theorem 12.2 (Recursion for energy function) The energy function defined in Equation (12.9) can be evaluated recursively as follows.
Start from '0 ./ D log p./.
At each step k D 1; 2; : : : ; T compute the following:
'k ./ D 'k
where the terms p.yk j y1Wk
orem 12.1.

1 ./
1 ; /

log p.yk j y1Wk

1 ; /;

(12.11)

can be computed recursively by The-

Proof The result follows from substituting Equation (12.5) into the definition of the energy function in Equation (12.9) and identifying the terms
corresponding to 'k 1 ./.

12.2 Computational methods for parameter estimation

In this section we briefly go through the underlying ideas in ML and MAP
based parameter estimation, their implementation by direct optimization
and by the EM algorithm, as well as the basics of Markov chain Monte
Carlo (MCMC) methods. There exist many other parameter estimation
methods for state space models and for more general statistical models,
but here we concentrate on these, because these approaches are the most
widely used (probabilistic methods) in the state space context.

178

Parameter estimation

12.2.1 Maximum a posteriori and Laplace approximations

The maximum a posteriori (MAP) estimate is obtained by determining the
location of the maximum of the posterior distribution and using it as the
point estimate:
O MAP D arg max p. j y1WT / :
(12.12)

The MAP estimate can be equivalently computed as the minimum of the

error function defined in Equation (12.9):
O MAP D arg min 'T ./ ;

(12.13)

which is usually numerically more stable and easier to compute. The maximum likelihood (ML) estimate of the parameter is a MAP estimate with a
formally uniform prior p./ / 1.
The minimum of the energy function can be computed by using various
gradient-free or gradient based general optimization algorithms (see, e.g.,
Luenberger and Ye, 2008). However, to be able to use gradient based optimization we will need to evaluate the derivatives of the energy function as
well. It is possible to find the derivatives in basically two ways (see, e.g.,
Cappe et al., 2005).
1 By formally differentiating the energy function recursion equations for
a particular method. This results in so-called sensitivity equations which
can be implemented as additional recursion equations computed along
with filtering.
2 Using Fishers identity which expresses the gradient of the energy function as an expectation of the derivative of the complete data log likelihood over the smoothing distribution. The advantage of this approach
over direct differentiation is that there is no need for an additional recursion.
The disadvantage of the MAP-estimate is that it essentially approximates
the posterior distribution with the Dirac delta function
p. j y1WT / ' .

O MAP /;

(12.14)

and thus ignores the spread of the distribution completely.

It is also possible to use a Laplace approximation (Gelman et al., 2004)
which uses the second derivative (Hessian) of the energy function to form
a Gaussian approximation to the posterior distribution:
p. j y1WT / ' N. j O MAP ; H.O MAP / 1 /;

(12.15)

12.2 Computational methods for parameter estimation

179

where H.O MAP / is the Hessian matrix evaluated at the MAP estimate. However, to implement the Laplace approximation, we need to have a method
to compute (or approximate) the second order derivatives of the energy
function.

12.2.2 Parameter inference via Markov chain Monte Carlo

Markov chain Monte Carlo (MCMC) methods (see, e.g., Liu, 2001; Brooks
et al., 2011) are a class of algorithms for drawing random variables from a
given distribution by simulating a Markov chain which has the desired distribution as its stationary distribution. The methods are particularly suited
for simulating samples from Bayesian posterior distributions p. j y1WT /,
because to implement the methods, we only need to know the unnormalized posterior distribution p.
Q j y1WT / D p.y1WT j / p./ or equivalently
the energy function in Equation (12.9), and knowledge of the normalization
constant of the posterior distribution is not required. The usage of MCMC
methods in the state space context has been recently discussed, for example, by Ninness and Henriksen (2010) and Andrieu et al. (2010).
The MetropolisHastings (MH) algorithm is the most common type of
MCMC method. MH uses a proposal density q. .i / j .i 1/ / for suggesting new samples .i / given the previous ones .i 1/ . The algorithm is the
following.
Algorithm 12.1 (MetropolisHastings) The MetropolisHastings (MH)
algorithm consists of the following steps.
Draw the starting point, .0/ from an arbitrary initial distribution.
For i D 1; 2; : : : ; N do
1 Sample a candidate point from the proposal distribution:
q. j .i

(12.16)

2 Evaluate the acceptance probability

q. .i 1/ j /
: (12.17)
i D min 1; exp.'T . .i 1/ / 'T . //
q. j .i 1/ /
3 Generate a uniform random variable u U.0; 1/ and set
(
;
if u i ;
.i / D .i 1/

; otherwise:

(12.18)

180

Parameter estimation

The Metropolis algorithm is a commonly used special case of

MetropolisHastings, where the proposal distribution is symmetric,
q. .i 1/ j .i / / D q. .i / j .i 1/ /. In this case the acceptance probability
reduces to
n
o
i D min 1; exp.'T . .i 1/ / 'T . // :
(12.19)
The choice of the proposal distribution is crucial for performance of the
MetropolisHastings method and finding a good one is a hard task (see,
e.g., Liu, 2001; Brooks et al., 2011). Some choices will lead to Metropolis
Hastings methods where the samples are highly correlated, whereas with
some choices the rejection rate becomes too high.
One commonly used choice is to use Gaussian distribution as the proposal distribution,
q. .i / j .i

/ D N. .i / j .i

; i

1 /;

(12.20)

where i 1 is some suitable covariance matrix. The resulting algorithm

is called the random walk Metropolis algorithm, because the transition
distribution above defines a Gaussian random walk in parameter space.
With this selection of proposal distribution the challenge is now to find a
suitable covariance matrix for the random walk.
One approach to the problem of selection of the covariance matrix is
to use adaptive Markov chain Monte Carlo (AMCMC) methods where the
covariance of the Gaussian proposal in the Metropolis algorithm is automatically adapted during the MCMC run (see, e.g., Haario et al., 1999,
2001; Andrieu and Thoms, 2008; Vihola, 2012). A typical idea in AMCMC methods is to use the covariance of the previously generated samples
as an estimate of the actual covariance of the posterior distribution. Given
the covariance, it is possible to compute the covariance of the proposal
distribution such that it causes an acceptance rate N which is optimal in
some suitable sense. For the random walk Metropolis algorithm, the optimal acceptance rate in certain ideal conditions is N D 0:234 (Roberts and
Rosenthal, 2001).
For example, the robust adaptive Metropolis (RAM) algorithm of Vihola
(2012) is similar to the adaptive Metropolis (AM) algorithm of Haario et al.
(2001) except that the adaptation of the covariance i is done in a slightly
different way. The algorithm is the following.
Algorithm 12.2 (RAM algorithm)
following steps.

The RAM algorithm consists of the

12.2 Computational methods for parameter estimation

181

1 Draw .0/ from an initial distribution p0 ./, and initialize S0 to be the

lower-triangular Cholesky factor of the initial covariance 0 .
2 Sample a candidate point by D i 1 C Si 1 ri , where ri N.0; I/.
3 Compute the acceptance probability
i D min f1; exp .'.i

'. //g :

(12.21)

4 Sample a uniform random variable u from the uniform distribution

U.0; 1/.
5 If u i , set .i / D . Otherwise set .i / D .i 1/ .
6 Compute a lower-triangular matrix Si with positive diagonal elements
satisfying the equation

ri riT
SiT 1 ;
(12.22)
Si SiT D Si 1 I C i .i N /
jjri jj2
where fi gi 1 .0; 1 is an adaptation step size sequence decaying
to zero. Although any such sequence will do, Vihola (2012) suggests
i D i with a suitable exponent 2 .1=2; 1.
7 Set i
i C 1 and go to step 2 until the desired number of samples has
been generated.
Instead of the random walk Metropolis algorithm with covariance adaptation it is also possible to use the gradient information in the construction
of the proposal distribution. This is the idea used in the Hamiltonian Monte
Carlo (HMC) or hybrid Monte Carlo (HMC) method (Duane et al., 1987;
Neal, 2011). In HMC the proposal distribution is constructed by simulating a physical system consisting of particles moving under the influence
of a potential (the energy function) and heat bath. The gradient of the energy function enters the equations as the force caused by the potential. The
HMC method was recently applied in the state space context by Mbalawata
et al. (2013).
Another commonly used MCMC method is Gibbs sampling (see, e.g.,
Liu, 2001; Brooks et al., 2011), which samples components of the parameters one at a time from their conditional distributions given the other parameters. The advantage of this method is that no rejections are needed, the
acceptance probability is identically one. However, in order to implement
the method it is necessary to be able to generate samples from the conditional distributions of parameters, which is possible only in a restricted
class of models. For various other methods the reader is referred to Brooks
et al. (2011).

182

Parameter estimation

12.2.3 Expectation maximization

The expectation-maximization (EM) algorithm is a method to iteratively
find an ML estimate of the parameters when the direct optimization of the
posterior distribution (or equivalently, energy function) is not feasible. The
algorithm was originally introduced by Dempster et al. (1977) and applications to state space models have been discussed, for example, in Shumway
and Stoffer (1982); Roweis and Ghahramani (2001); Schon et al. (2011).
Gaussian smoothing and sigma-point based approximations in an EM context have also been recently discussed in Vaa nanen (2012). Although the
EM algorithm was originally an algorithm for computing ML estimates,
it can also be easily modified for computation of MAP estimates, as discussed below.
The EM algorithm is based on the result that even when we cannot
evaluate the marginal likelihood as such, we are still often able to compute
a lower bound for it as follows. Let q.x0WT / be an arbitrary probability
density over the states, then we have
log p.y1WT j / F q.x0WT /; ;
where the functional F is defined as
Z
p.x0WT ; y1WT j /
dx0WT :
F q.x0WT /; D q.x0WT / log
q.x0WT /

(12.23)

(12.24)

The key idea behind the EM algorithm is that it is possible to maximize

the left-hand side of Equation (12.23) by iteratively maximizing the lower
bound F q.x0WT /; . A simple way to do that is the following iteration
(Neal and Hinton, 1999).
Algorithm 12.3 (Abstract EM) The maximization of the lower bound in
Equation (12.24) can be done by coordinate ascend as follows.
Start from initial guesses q .0/ , .0/ .
For n D 0; 1; 2; : : : do the following steps:
1 E-step: Find q .nC1/ D arg maxq F q; .n/ .
2 M-step: Find .nC1/ D arg max F q .nC1/ ; .
In order to implement the EM algorithm we need to be able to do the
above maximizations in practice. Fortunately, it can be shown (see, e.g.,
Neal and Hinton, 1999) that the result of the maximization at the E-step is
q .nC1/ .x0WT / D p.x0WT j y1WT ; .n/ /:

(12.25)

12.2 Computational methods for parameter estimation

183

Plugging this into the expression of F q .nC1/ .x0WT /; gives

F q .nC1/ .x0WT /;
Z
D p.x0WT j y1WT ; .n/ / log p.x0WT ; y1WT j / dx0WT
Z
p.x0WT j y1WT ; .n/ / log p.x0WT j y1WT ; .n/ / dx0WT :

(12.26)

Because the latter term does not depend on , maximizing F q .nC1/ ; is

equivalent to maximizing the first term above, which in the EM context is
commonly denoted as
Z
.n/
Q.; / D p.x0WT j y1WT ; .n/ / log p.x0WT ; y1WT j / dx0WT ;
(12.27)
which is thus the expectation of the logarithm of the complete data likelihood p.x0WT ; y1WT j / over the full joint posterior of the states given the
parameters .n/ . The resulting algorithm is the following.
Algorithm 12.4 (EM algorithm)
lowing steps.

The EM algorithm consists of the fol-

Start from an initial guess .0/ .

For n D 0; 1; 2; : : : do the following steps:
1 E-step: compute Q.; .n/ /.
2 M-step: compute .nC1/ D arg max Q.; .n/ /.
Due to the Markovian structure of the state space model in Equation
(12.1), the complete data log-likelihood has the form
log p.x0WT ; y1WT j /
D log p.x0 j / C

T
X
kD1

log p.xk j xk

1 ; / C

T
X

log p.yk j xk ; /:

kD1

(12.28)
The expression for Q in Equation (12.27) and thus the E-step in Algorithm 12.4 now reduces to computation of (see Schon et al., 2011)

Q.; .n/ / D I1 .; .n/ / C I2 .; .n/ / C I3 .; .n/ /;

(12.29)

Parameter estimation

184

where
I1 .;

.n/

I2 .;

.n/

Z
/D
/D

p.x0 j y1WT ; .n/ / log p.x0 j / dx0 ;

T Z
X

p.xk ; xk

j y1WT ; .n/ /

kD1

log p.xk j xk
I3 .; .n/ / D

T Z
X

1 ; /

dxk dxk

p.xk j y1WT ; .n/ / log p.yk j xk ; / dxk : (12.30)

kD1

The above expectations are over the smoothing distribution and the key
thing is to observe that we do not need to compute expectations over the
full posterior, but only over the smoothing distributions p.xk j y1WT ; .n/ /
and pairwise smoothing distributions p.xk ; xk 1 j y1WT ; .n/ /. It turns out
that the required expectations can be easily (approximately) evaluated using smoother results. In the case of linear state space models we can find
a closed form expression for the above integrals in terms of RTS smoother
results. In the non-linear case we can approximate the integrals by using
non-linear smoothers such as Gaussian smoothers. In the more general
probabilistic state space model we can use particle smoothers to approximate them.
On the E-step of Algorithm 12.4 we need to maximize the expression for
Q in Equation (12.29) with respect to the parameters . In principle, we
can utilize various gradient-free and gradient based optimization methods
(see, e.g., Luenberger and Ye, 2008) for doing that, but the most useful
case occurs when we can do the maximization analytically via setting the
gradient to zero:
@Q.; .n/ /
D 0:
(12.31)
@
This happens, for example, when estimating the parameters of linear state
space models and in certain classes of non-linear state space models.
It turns out that we can calculate MAP estimates using the EM algorithm
by replacing p.x0WT ; y1WT j / in Equation (12.27) with p.x0WT ; y1WT ; /.
In practice, it can be implemented by maximizing Q.; .n/ / C log p./
at the M-step instead of the plain Q.
As a side product of the EM formulation above we also get a method
to compute the gradient of the energy function needed in gradient based
optimization for finding the MAP or ML estimates. Fishers identity (see,

12.3 Practical parameter estimation in state space models

185

e.g., Cappe et al., 2005) states that if we evaluate the gradient of Q at

.n/ D , we get exactly the gradient of the marginal log-likelihood. This
implies that the gradient of the energy function can be evaluated as

@ log p./
@Q.; .n/ /
@'T ./
D
(12.32)
.n/ :
@
@
@
D
Note that here we refer to the above identity as Fishers identity although
the original identity is the relationship with the log marginal likelihood and
Q, not with the log posterior and Q. In any case this identity is useful in linear state space models, because it is often easier to compute and computationally lighter (Segal and Weinstein, 1989; Olsson et al., 2007). However,
in non-linear state space models it is not as useful, because the approximations involved in computation of the filtering and smoothing solutions
often cause the gradient to have different approximations from the energy
function approximation implied by the same method. That is, the gradient
approximation computed with Fishers identity and Gaussian smoothing
might not exactly match the gradient of the energy function approximation
computed with the corresponding Gaussian filter. However, in the case of
particle filters, Fishers identity provides a feasible way to approximate the
gradient of the energy function.

12.3 Practical parameter estimation in state space models

In this section we discuss practical parameter estimation methods for state
space models using linear Kalman filters and RTS smoothers, Gaussian
approximation based non-linear Kalman filters and RTS smoothers, and
particle filters and smoothers. But before going to them, we outline the
simple but sometimes effective state augmentation approach.

12.3.1 State augmentation approach

Before going to more elaborate parameter estimation methods for state
space models, we recall that already in Chapter 3 we used the Kalman
filter for estimating static parameters in a regression model. The same approach can be generalized to the state augmentation approach which simply means that we augment the parameter as part of the state. For example,
lets say that we have a non-linear model with unknown parameters :
xk D f .xk

1 ; /

C qk

yk D h.xk ; / C rk :

(12.33)

186

Parameter estimation

We can now rewrite the model as

k D k

xk D f .xk

1 ; k 1 /

C qk

yk D h.xk ; k / C rk ;

(12.34)

where the dynamic model for the parameter essentially says that it is conQ k D .xk ; k /, we get a state space
stant. If we now redefine the state as x
model of the form
Q k D fQ .Qxk 1 / C q
Q k 1;
x
yk D h.Qxk / C rk ;

(12.35)

which does not contain any unknown parameter anymore. The problem
in this state augmentation is the singularity of the dynamic model for the
parameter. It works well when the whole system is linear and we do not
have any approximation errors in the estimator. If the parameters appear
linearly in the system, it sometimes is a good idea to include the parameters
as part of the state. However, this might fail sometimes as well.
With approximate non-linear filters the singularity of the parameter dynamic model indeed causes problems. With non-linear Kalman filters the
Gaussian approximation tends to become singular which causes the filter
to diverge. As discussed in Section 7.4, particle filters have a problem with
small noises in the dynamic model because it causes sample impoverishment. As the noise in the dynamic model above is exactly zero, this case is
particularly problematic for particle filters.
A common way to circumvent the problem is to introduce an artificial
noise to the dynamic model of the parameter, that is, replace k D k 1
with
k D k

C "k

(12.36)

where "k 1 is a small noise process. But the problem is that we are
no longer solving the original parameter estimation problem, but another
one with a time-varying parameter. Anyway, this approach is sometimes
applicable and should be considered before jumping into more complicated
parameter estimation methods.
There is also a form of RaoBlackwellization that sometimes helps. This
approach is discussed in Section 12.3.5 and the idea is to use a closed form
solution for the static parameter (RaoBlackwellize the parameter) and
sample only the original state part. This works if the parameter appears in
the model in a suitable conjugate form.

12.3 Practical parameter estimation in state space models

187

12.3.2 Parameter estimation in linear state space models

Consider the following linear Gaussian state space model with unknown
parameters :
xk D A./ xk

C qk

yk D H./ xk C rk ;

(12.37)

where qk 1 N.0; Q.//, rk N.0; R.//, and x0 N.m0 ./; P0 .//.

In the above model, for notational convenience, we have assumed that the
model matrices do not explicitly depend on time. The energy function and
thus the marginal parameter posterior for the linear Gaussian model above
can be obtained as follows.
Theorem 12.3 (Energy function for linear Gaussian model)
sion for the energy function is given as

The recur-

1
1
log j2 Sk ./j C vkT ./ Sk 1 ./ vk ./; (12.38)
2
2
where the terms vk ./ and Sk ./ are given by the Kalman filter with the
parameters fixed to .
'k ./ D 'k

1 ./

Prediction:
mk ./ D A./ mk
Pk ./ D A./ Pk

1 ./;
T
1 ./ A ./

C Q./:

(12.39)

Update:
vk ./ D yk

H./ mk ./;

Sk ./ D H./ Pk ./ HT ./ C R./;

Kk ./ D Pk ./ HT ./ Sk 1 ./;
mk ./ D mk ./ C Kk ./ vk ./;
Pk ./ D Pk ./

Kk ./ Sk ./ KTk ./:

(12.40)

Proof The Kalman filter gives us the Gaussian predictive distribution

p.xk j y1Wk 1 ; / D N.xk j mk ./; Pk .// which via Theorem 12.1
thus gives
p.yk j y1Wk 1 ; /
Z
D N.yk j H./ xk ; R.// N.xk j mk ./; Pk .// dxk
D N.yk j H./ mk ./; H./ Pk ./ HT ./ C R.//:
The rest follows from Theorem 12.2.

(12.41)

Parameter estimation

188
3

Posterior Distribution
True Parameter Value

2.5

p(R | y1:T )

1.5

0.5

0
0

0.5

1
R

1.5

Figure 12.1 Posterior distribution of noise variance R in the

Gaussian random walk model (see Example 4.1).

Thus if we fix and run the above algorithm from '0 ./ D log p./
at k D 0 to the step k D T , then the full energy function is 'T ./. That
is, the marginal posterior density at the point can be evaluated up to a
normalization constant by Equation (12.10) as
p. j y1WT / / exp. 'T .//:
Given the energy function it is now easy to implement, for example, a
MetropolisHastings based MCMC sampler for generating a Monte Carlo
approximation of the posterior distribution, or to use the energy function
in a gradient-free optimization for finding the ML or MAP estimates of the
parameters.
Example 12.1 (Parameter posterior for Gaussian random walk) The posterior distribution of the noise variance p.R j y1WT / for the Gaussian random walk model in Example 4.1 is shown in Figure 12.1. A formally uniform prior p.R/ / 1 was assumed. The true value used in the simulation is
indeed well within the high density area of the posterior distribution. However, it can also been seen that if we computed the MAP (or equivalently
ML) estimate of the parameter, we would get a smaller value than the true
one.

12.3 Practical parameter estimation in state space models

189

In order to implement a gradient based optimization method, we need

to have the gradient of the energy function as well. One way to implement
the gradient computation is by first differentiating the energy function expression in Theorem 12.3 term-by-term and then each of the Kalman filter
equations. This results in a recursion called sensitivity equations (Gupta
and Mehra, 1974; Cappe et al., 2005) which can be evaluated along with the
Kalman filtering computations. The equations are given in Theorem A.2 in
Section A.3. Another way to compute the gradient is by using Fishers identity (12.32), but before going into that, lets take a look at the EM algorithm
for linear Gaussian models.
Recall that for implementing the EM algorithm we need to be able to
compute the expectations in Equations (12.30), which in terms requires the
knowledge of the smoothing distributions and pairwise smoothing distributions. Fortunately, by Equations (8.5) and (8.12) we know that
p.xk j y1WT ; .n/ / D N.xk j msk ; Pks /;
j y1WT ; .n/ /

s
xk
Pks
mk
DN
;

s
xk 1
mk 1
Gk 1 Pks

p.xk ; xk

Pks GkT
Pks 1

;

(12.42)

where the means, covariances, and gains are computed with an RTS
smoother with the model parameters fixed to .n/ . Note that in the
EM algorithms appearing in the literature the cross term Pks GkT 1 is
sometimes computed with a separate recursion (see, e.g., Shumway and
Stoffer, 1982), but in fact it is unnecessary due to the above. The required
expectations for EM in Equations (12.30) can now be computed in closed
form and the result is the following (see Shumway and Stoffer, 1982).

Parameter estimation

190

Theorem 12.4 (Evaluation of Q for linear Gaussian model) The expression for Q for the linear Gaussian model in Equation (12.37) can be written as

Q.; .n/ /
1
T
T
D
log j2 P0 ./j
log j2 Q./j
log j2 R./j
2(
2
2
)
i
h
1
1
s
s
s
T
tr P0 ./ P0 C .m0 m0 .// .m0 m0 .//
2
(
)
h
i
T
1
T
T
T
tr Q ./ C A ./ A./ C C A./ A ./
2
(
)
h
i
T
tr R 1 ./ D B HT ./ H./ BT C H./ HT ./ ;
2
(12.43)
where the following quantities are computed from the results of RTS
smoothers run with parameter values .n/ :
T
1 X s
D
Pk C msk msk T ;
T
kD1

T
1 X s
Pk
T

C msk

msk

T
1 ;

kD1

T
1 X
yk msk T ;
T
kD1

T
1 X s T
CD
Pk Gk
T

C msk msk

kD1

T
1 X
yk ykT :
T

(12.44)

kD1

The usefulness of the EM algorithm for linear state space models stems
from the fact that if the parameters are selected to be some of the full model
matrices (or initial mean) we can indeed perform the M-step of the EM
algorithm in closed form. The same thing happens if the parameters appear
linearly in one of the model matrices (e.g., are some subcomponents of the
matrices), but application of the EM algorithm to the estimation of the full
matrices is the classical result. By setting the gradients of @Q.; .n/ /=@

12.3 Practical parameter estimation in state space models

191

to zero for each D fA; H; Q; R; P0 ; m0 g separately, we get the following

result.
Theorem 12.5 (Maximization of Q for linear model parameters) The
maximum D arg max Q.; .n/ /, when the parameters are selected
to be one of the model parameters 2 fA; H; Q; R; P0 ; m0 g, can be computed as follows.
When D P0 we get
P0 D P0s C .ms0

m0 / .ms0

m 0 /T :

(12.45)

When D A we get
A D C

(12.46)

When D Q we get
Q D

C AT

A C T C A AT :

(12.47)

When D H we get
H D B

(12.48)

When D R we get
R D D

H BT

B HT C H HT :

(12.49)

Finally, the maximum with respect to the initial mean D m0 is

m0 D ms0 :

(12.50)

Obviously the above theorem can also be used for solving the maximum
of Q with respect to any subset of model matrices by solving the resulting
equations jointly. The EM algorithm for finding the maximum likelihood
estimates of the linear state space model parameters is now the following.
Algorithm 12.5 (EM algorithm for linear state space models) Let contain some subset of the model parameters fA; H; Q; R; P0 ; m0 g. We can
find maximum likelihood estimates of them via the following iteration.
Start from some initial guess .0/ .
For n D 0; 1; 2; : : : do the following steps.
1 E-step: Run the RTS smoother using the current parameter values
in .n/ and compute the quantities in Equation (12.44) from the
smoother results.
2 M-step: Find new parameters values by using Equations (12.45)
(12.50) and store them in .nC1/ .

Parameter estimation

192

The expression for Q.; .n/ / also provides an easy gradient recipe
(Olsson et al., 2007) for computation of the energy function gradient via
Fishers identity (Equation (12.32)), as it enables the computation of the
gradient without an additional recursion (sensitivity equations). The resulting expression is given in Theorem A.3 in Section A.3.

12.3.3 Parameter estimation with Gaussian filtering and smoothing

One way to implement parameter estimation in non-linear models is by
replacing the Kalman filters and RTS smoothers used in the linear case
with their non-linear counterparts. Lets consider parameter estimation in
models of the form
xk D f .xk

1 ; /

C qk

yk D h.xk ; / C rk ;

(12.51)

where qk 1 N.0; Q.//, rk N.0; R.//, and x0 N.m0 ./; P0 .//.

The energy function can now be approximated with the following Gaussian
filtering based algorithm.
Algorithm 12.6 (Gaussian filtering based energy function) The recursion
for the approximate energy function is
1
1
log j2 Sk ./j C vkT ./ Sk 1 ./ vk ./; (12.52)
2
2
where the terms vk ./ and Sk ./ are given by the Gaussian filter with the
parameters fixed to .
'k ./ ' 'k

1 ./

Prediction:
Z
mk ./ D

f .xk

1 ; /

N.xk

j mk

1 ./; Pk 1 .//

Z
Pk ./ D

.f .xk

1 ; /

N.xk

mk .// .f .xk

j mk

1 ; /

1 ./; Pk 1 .//

dxk

mk .//T
1

C Qk

1 ./:

(12.53)

12.3 Practical parameter estimation in state space models

193

Update:
Z
k ./ D

h.xk ; / N.xk j mk ./; Pk .// dxk ;

vk ./ D yk k ./;
Z
Sk ./ D .h.xk ; /

k .// .h.xk ; /

k .//T

N.xk j mk ./; Pk .// dxk C Rk ./;

Z
Ck ./ D

.xk

mk .// .h.xk ; /

k .//T

N.xk j mk ./; Pk .// dxk ;

Kk ./ D Ck ./ Sk 1 ./;
mk ./ D mk ./ C Kk ./ vk ./;
Pk ./ D Pk ./

Kk ./ Sk ./ KTk ./:

(12.54)

Derivation This approximation can be derived in the same way as the

linear case in Theorem 12.3 except that Gaussian moment matching based
approximations are used instead of the true Gaussian distributions.
The above energy function can now be directly used in MCMC sampling
or in gradient-free optimization algorithms for computing ML or MAP estimates. However, because the energy function is based on a Gaussian approximation, the implied posterior distribution is an approximation as well
and thus the parameter estimates will be biased. The posterior distribution
approximation is also typically thinner than the true posterior distribution
and thus the uncertainty in the parameter is underestimated. This issue is
illustrated in Example 12.2.
It is also possible to compute the derivatives of the above energy function analogously to the linear case. In the case of the extended Kalman filter
(EKF), the derivatives can be easily derived by formally differentiating the
EKF equations (see Mbalawata et al., 2013). When sigma-point filters are
used, a similar approach works, but additional carep
is needed for computation of the derivative of the square root matrix @ P ./=@i arising in
the equations. The equations for computing the derivatives of the energy
function are given in Algorithm A.3.
To compute the expectations required for implementing the EM algorithm, we can approximate the integrals in Equations (12.30) using the
Gaussian assumed density approximation (i.e., moment matching). The resulting expression for Q is the following.

Parameter estimation

194

Algorithm 12.7 (Evaluation of Q via Gaussian smoothing) The expression for Q for the non-linear state space model in Equation (12.51) can be
written as

Q.; .n/ /
T
T
1
log j2 P0 ./j
log j2 Q./j
log j2 R./j
'
2(
2
2
)
i
h
1
1
s
s
s
T
tr P0 ./ P0 C .m0 m0 .// .m0 m0 .//
2
T

1X 1
tr Q ./ E .xk
2

f .xk

1 ; // .xk

f .xk

T
1 ; //

j y1WT

kD1
T

1X 1
tr R ./ E .yk
2

h.xk ; // .yk

h.xk ; //T j y1WT

kD1

(12.55)
where the expectations are over the counterparts of the distributions in
Equations (12.42) obtained from the Gaussian smoother.
In practice, we can approximate the Gaussian smoother and Gaussian
integrals above with Taylor series approximations (EKF/ERTSS) or by
sigma-point methods such as GaussHermite or spherical cubature integration or the unscented transform. The M-step for the noise parameters can
indeed be implemented analogously to the linear case in Theorem 12.5, because the maxima of the above Q with respect to the noise covariance are
simply
Q D

T
1 X
E .xk
T

f .xk

1 ; // .xk

f .xk

1 ; //

j y1WT ;

kD1

T
1 X
R D
E .yk
T

h.xk ; // .yk

h.xk ; //T j y1WT :

(12.56)

kD1

The details of implementation of the M-step for other kinds of parameter

depends on the actual functional form of f and h. If the parameters appear
linearly in the functions, it is possible to find closed form solutions for the
maxima analogously to the linear case (Theorem 12.5). Obviously, even
when analytical solutions cannot be found, it would be possible to use
iterative optimization methods inside EM. But if iterative methods need to
be used anyway, then with the same effort we can try to find the minimum

12.3 Practical parameter estimation in state space models

195

of the energy function directly (recall that it is what EM tries to find as

well).
Also in the non-linear case Fishers identity (Equation (12.32)), in principle, gives an easy way to evaluate the gradients of the energy function.
The problem is that both the energy function and the gradient given by
Fishers identity are approximations, and there is no guarantee that the
approximations involved are the same. That is, the derivative given by
Fishers identity might not be exactly the derivative of the approximate
energy function given by the Gaussian filter. The derivation of the Fishers
identity based derivative expression is left as an exercise to the reader.

12.3.4 Parameter estimation via particle filtering and smoothing

Particle filtering can also be used for approximate evaluation of the
marginal likelihood and also the energy function needed in parameter
estimation. In the particle filtering approach we can consider generic
models of the form
p./;
x0 p.x0 j /;
xk p.xk j xk

1 ; /;

yk p.yk j xk ; /;

(12.57)

where 2 Rd is the unknown parameter to be estimated. The approximate evaluation of the marginal likelihood can be done with the following
modification of the SIR particle filter (see, e.g., Andrieu et al., 2004; Creal,
2012).
Algorithm 12.8 (SIR based energy function approximation) An approximation to the marginal likelihood of the parameters can be evaluated during the sequential importance resampling (SIR) algorithm (particle filter),
as follows.
Draw N samples x.i0 / from the prior:
x.i0 / p.x0 j /;

i D 1; : : : ; N;

(12.58)

and set w0.i / D 1=N , for all i D 1; : : : ; N .

For each k D 1; : : : ; T do the following.
1 Draw samples x.ik / from the importance distributions:
x.ik / .xk j x.ik / 1 ; y1Wk ; /;

i D 1; : : : ; N:

(12.59)

Parameter estimation

196

2 Compute the following weights:

vk.i / D

p.yk j x.ik / ; / p.x.ik / j x.ik / 1 ; /

.x.ik / j x.ik / 1 ; y1Wk ; /

and compute the estimate of p.yk j y1Wk 1 ; / as

X .i / .i /
p.y
O k j y1Wk 1 ; / D
wk 1 vk :

(12.60)

(12.61)

3 Compute the normalized weights as

wk.i / / wk.i / 1 vk.i / :

(12.62)

4 If the effective number of particles (7.27) is too low, perform resampling.

The approximation of the marginal likelihood of the parameters is
Y
p.y1WT j /
p.y
O k j y1Wk 1 ; /;
(12.63)
k

and the corresponding energy function approximation is

'T ./

log p./

T
X

log p.y
O k j y1Wk

1 ; /:

(12.64)

kD1

The energy function approximation could also be computed recursively

during the SIR algorithm above.
The particle filter based energy function approximation can now be used,
for example, in the MetropolisHastings based MCMC algorithm. The result is the particle Markov chain Monte Carlo (PMCMC) method (Andrieu
et al., 2010) and, more specifically, the particle marginal Metropolis
Hastings (PMMH) algorithm variant of it. Although the idea of using a
particle filter based likelihood approximations in MCMC is an old and obvious idea (see Andrieu et al., 2004), it was only proved recently by Andrieu et al. (2010) that the resulting algorithm is exact in the sense that it
samples from the right distribution. Thus the result is (asymptotically) the
same as if we had used the exact energy function instead of the particle
filter based approximation in the MCMC method.
Example 12.2 (Estimation of noise variance in the pendulum model) Figure 12.2 shows the posterior distribution approximation for the noise variance R computed with a Gaussian filter for the pendulum model in Example 3.7. The figure also shows the histogram of samples from the PMCMC

12.3 Practical parameter estimation in state space models

197

90
PMCMC Histogram
Gaussian Filter Estimate
True Parameter Value

80
70

p(R | y1:T )

60
50
40
30
20
10
0
0.05

0.1
R

0.15

Figure 12.2 Posterior distribution of the noise variance R in the

pendulum model (see Example 12.2). The approximation
computed with the the Gaussian filter is thinner than the reference
result computed with the PMCMC. Thus the uncertainty in the
parameter estimate is not properly captured by the Gaussian filter
based approximation.

method which thus should approach the true posterior of the parameter. As
can be seen, the posterior distribution estimate of the Gaussian filter (fifth
order GaussHermite filter) is a bit thinner than the true posterior distribution. That is, the uncertainty in the parameter value is underestimated.
In this case we are lucky, because the true parameter value still remains inside the high density area of the posterior distribution approximation, but
this might not always be the case.
In principle, it would also be possible to use the likelihood or energy
function approximation in gradient-free optimization methods for finding
MAP or ML estimates. However, this might turn out to be hard, because
even if we fixed the random number generator sequence in the particle filter, the likelihood function would not be continuous in (see, e.g., Kantas
et al., 2009). This also renders the use of gradient based optimization methods impossible.
By comparing to the RaoBlackwellized particle filter in Algorithm 7.6,
it is easy to see that the corresponding likelihood approximation can be

Parameter estimation

198

obtained by setting
vk.i / D

p.yk j u.i0Wk/ ; y1Wk

1 ; /

.u.ik / j u.i0Wk/

p.u.ik / j u.ik / 1 ; /

1 ; y1Wk ; /

(12.65)

The likelihood approximation itself remains the same as in Equation (12.61):

X .i / .i /
p.y
O k j y1Wk 1 ; / D
wk 1 vk :
i

We can also implement the EM algorithm using particle smoothing. Recall

that to implement the EM algorithm we need to evaluate Q.; .n/ / via
Equation (12.29) which in turn requires us to evaluate the expectations appearing in Equation (12.30). The actual form of the approximation depends
on the particle smoother that we are using. In the case of the backwardsimulation smoother we have the following simple algorithm (Wills et al.,
2013).
Algorithm 12.9 (Evaluation of Q via the backward-simulation smoother)
Assume that we have simulated S trajectories fQx.i0WT/ W i D 1; : : : ; S g using the backward-simulation smoother in Algorithm 11.2 with parameter
values fixed to .n/ . Then the integrals in Equation (12.30) can be approximated as
I1 .;

.n/

S
1X
/
log p.Qx.i0 / j /;
S i D1

I2 .; .n/ /

T
X1
kD0

I3 .; .n/ /

S
1X
/
Q .ik / ; /;
log p.Qx.ikC1
jx
S i D1

T
S
X
1X
Q .ik / ; /:
log p.yk j x
S i D1

(12.66)

kD1

If we are using the reweighting (or marginal) particle smoother in Algorithm 11.3, the corresponding expectations can be approximated as follows
(Schon et al., 2011).
Algorithm 12.10 (Evaluation of Q via the reweighting smoother) Assume that we have the set of particles fx.ik / W k D 0; : : : ; T I i D 1; : : : ; N g
representing the filtering distribution and we have calculated the weights
.i /
fwkjT
W k D 0; : : : ; T I i D 1; : : : ; N g using Algorithm 11.3. Then we can

12.3 Practical parameter estimation in state space models

199

approximate the integrals in Equation (12.30) as follows:

X .i /
I1 .; .n/ /
w0jT log p.x.i0 / j /;
i

I2 .;

.n/

T
X1 X X
kD0

.j /
/
.i /
.n/
wkC1jT
wk.i / p.x.j
/
kC1 j xk ;
i
hP
.l/
.j /
.l/
.n/ /
l wk p.xkC1 j xk ;
.i /
/
log p.x.j
kC1 j xk ; /;

I3 .; .n/ /

T X
X
kD1

.i /
wkjT
log p.yk j x.ik / ; /:

(12.67)

By differentiating the expressions in the above algorithms with respect

to , we can also get an approximation for @Q.; .n/ /=@. This approximation can be further used in Fishers identity in Equation (12.32) to give
approximations for the gradients of the energy function (Ninness et al.,
2010). For more information on this kind of approach as well as other methods for particle filtering based parameter estimation, the reader is referred
to Andrieu et al. (2004), Kantas et al. (2009), and Poyiadjis et al. (2011).

12.3.5 RaoBlackwellization of parameters

In this section we show how RaoBlackwellization can sometimes be used
for marginalizing out the static parameters in state space models. Lets start
by considering the following generalized version of the pendulum example
used in Sarkka (2006) and Sarkka and Sottinen (2008):
xk D f .xk

C qk

yk D h.xk / C rk ;
rk N.0; R/;
R Inv-2 .0 ; R0 /;

(12.68)

where qk 1 N.0; Q/. This is thus the same kind of non-linear state
space model that we have already considered in this book, except that here
the measurement noise variance R is considered as unknown and given an
inverse-chi-squared prior distribution Inv-2 .0 ; R0 /.
It turns out that we can do sequential Monte Carlo sampling in this
model such that we do not need to sample the values of R. Instead, it is
enough to sample the state values and then carry the parameters of the distribution of R, conditional on the previous measurements and the histories
of samples. The idea is the following.

Parameter estimation

200

1 Assume that we have generated a set of particle histories fwk.i / ; x.i0Wk/ W

i D 1; : : : ; N g which approximate the full distribution of the states as
follows:
X .i /
p.x0Wk 1 j y1Wk 1 /
wk 1 .x0Wk 1 x.i0Wk/ 1 /;
(12.69)
i

which is thus the conventional SIR filter approximation when we store

the full sample histories (see Section 11.1). Further assume that the conditional distribution of R given measurements y1Wk 1 and the sampled
state history x.i0Wk/ 1 is
p.R j x.i0Wk/

1 ; y1Wk 1 /

D Inv-2 .R j k.i / 1 ; Rk.i / 1 /;

(12.70)

where k.i / 1 ; Rk.i / 1 have already been computed for each i. Then we have
the following approximation for the full distribution of states and parameters:
p.x0Wk

1; R

j y1Wk

D p.R j x0Wk 1 ; y1Wk 1 / p.x0Wk 1 j y1Wk 1 /

X .i /
wk 1 Inv-2 .R j k.i / 1 ; Rk.i / 1 / .x0Wk

x.i0Wk/

1 /:

(12.71)

2 Lets now draw samples from an importance distribution:

x.ik / .x.ik / j x.ik / 1 ; yk /:

(12.72)

3 We can now evaluate the likelihood of the measurement given x.ik / and
the previous measurements as follows:
p.yk j x.ik / ; y1Wk 1 /
Z
D N.yk j h.x.ik / /; R/ Inv-2 .R j k.i / 1 ; Rk.i / 1 / dR
D t .i / .yk j h.x.ik / /; Rk.i / /;

(12.73)

where the parameters of the Students t-distribution above are

k.i / D k.i / 1 C 1;
Rk.i / D

k.i / 1 Rk.i / 1 C .yk

k.i / 1 C 1

h.x.ik / //2

(12.74)

12.3 Practical parameter estimation in state space models

201

This allows us to compute the next step importance weights for the SIR
algorithm as follows:
wk.i /

p.yk j x.ik / ; y1Wk

N.x.ik / j f .x.ik / 1 /; Q/

.x.ik / j x.ik / 1 ; yk /

(12.75)

4 Given the measurement and the state we can further compute the conditional distribution of R given y1Wk and x.i0Wk/ :
p.R j x.i0Wk/ ; y1Wk / D Inv-2 .R j k.i / ; Rk.i / /:

(12.76)

5 Now we again have a similar representation for the filtering distribution

as in step 1 and we can set k
k C 1 and go back to step 1. But before
that we can also do resampling jointly for the state histories x.i0Wk/ and the
parameters k.i / ; Rk.i / as in the conventional SIR algorithm.
In the above algorithm, we would not actually need to carry the whole
state histories in the filter, but theoretically the parameters of the inverse
chi squared distributions are indeed conditioned on the full state histories.
The procedure above is a RaoBlackwellized particle filter where the
static parameter R has been marginalized out and is carried via its sufficient
statistics k.i / ; Rk.i / conditioned on the particle histories x.i0Wk/ and measurements. In another example given in Sarkka (2006) and Sarkka and Sottinen
(2008) this procedure is used for marginalizing out the unknown population size in a Poisson measurement model. The same idea can be used in
various other types of model.
In an abstract sense the method can be applied to a class of models of
the form
xk p.xk j xk

1 ; /;

yk p.yk j xk ; /;
p./;

(12.77)

where the vector contains the unknown static parameters. Now if the
posterior distribution of the parameters depends only on some sufficient
statistics

Tk D Tk .x1Wk ; y1Wk /;

(12.78)

and if the sufficient statistics are easy to update recursively, Tk

Tk 1 ,
then sampling of the state and parameters can be performed by recursively
computing the sufficient statistics conditionally on the sampled states and
the measurements analogously to the example above. The original idea of
the method seems to have appeared quite independently in Storvik (2002),

202

Parameter estimation

Fearnhead (2002), Djuric and Miguez (2002), and more recently it has been
applied to estimation of full noise covariances in state space models by
Saha et al. (2010).
A particularly useful special case, which includes the example above,
is obtained when the dynamic model is independent of the parameters .
In this case, if conditionally to the state xk the prior p./ belongs to the
conjugate family of the likelihood p.yk j xk ; /, the static parameters
can be marginalized out and only the states need to be sampled. This idea
can be extended to the time-varying case if the dynamic model has such
a form which keeps the predicted distribution of the parameter within the
conjugate family (see Sarkka and Nummenmaa, 2009).
When the static parameter appears linearly in the model we recover
a noise free version of the conditionally Gaussian RaoBlackwellization
considered in Section 7.5 (see Schon and Gustafsson, 2003). The Rao
Blackwellized particle filter can then be seen as a time-varying extension
of this method in the conditionally linear Gaussian case.

12.4 Exercises
12.1

12.2

12.3

12.4

12.5
12.6

12.7

Implement the EM algorithm for ML estimation of the measurement noise

variance in the Gaussian random walk model considered in Examples 4.1,
4.2, and 8.1. Test the algorithm with simulated data.
Implement the algorithm for computing the energy function for the Gaussian
random walk model as well as its derivative with respect to the noise variance
(via the sensitivity equations given in Section A.3). Generate some simulated
data and use a gradient based optimization method to find the ML estimate
of the parameter.
With the Gaussian random walk model, find the expression for the Fishers
identity based derivative with respect to the noise parameter. Check numerically that it matches the expression obtained with the sensitivity equations.
Implement a random walk Metropolis based MCMC method for estimating
the noise variance in the Gaussian random walk model. Use the Kalman filter
for evaluating the energy function. For simplicity, you can assume that the
prior for the parameter has the form p.R/ / 1.
Derive the sensitivity equations for the first order extended Kalman filter.
Derive the equation for the derivative of the energy function resulting
from differentiating the Gaussian smoothing based approximation in
Algorithm 12.7 and using Fishers identity (Equation (12.32)).
Compute and plot the approximate energy function obtained for the noise
variance in the model given in Exercise 5.1 by using a non-linear Kalman
filter based estimate of the energy function. You can select the filter freely.

Exercises
12.8

203

Implement a random walk Metropolis based MCMC method for estimating

the noise variance in the model given in Exercise 5.1. Use one of the nonlinear Kalman filters to approximate the energy function.
12.9 Implement a random walk Metropolis based particle MCMC method for
estimating the noise variance in the Gaussian random walk model. Use a
simple bootstrap filter as the particle filter.
12.10 Implement a random walk Metropolis based particle MCMC method for
estimating the noise variance in the model given in Exercise 5.1.

13
Epilogue

13.1 Which method should I choose?

An important question when preparing to solve a specific filtering, smoothing, or parameter estimation problem for state space models is: which of
the numerous methods should I choose for a particular application? Obviously if the problem is linear, then the Kalman filter and RTS smoother
are natural choices also for evaluating the quantities needed for parameter estimation. But if the system is non-linear/non-Gaussian the question is
harder.
When the noises in the system can be modeled as Gaussian and the
model is of the form
xk D f .xk

C qk

yk D h.xk / C rk ;

(13.1)

where f and h are somewhat well-behaved functions, then the first choice
would be one of the Gaussian approximation based filters and smoothers
provided that we are working on an application and the theoretical exactness of the solution is not important per se, but we are interested in
getting good estimates of the state and parameters. If theoretical exactness
is needed, then the only option is to use particle filters and smoothers (or
grid based solutions).
Among the Gaussian approximation based filters and smoothers it is always a good idea to start with an EKF and an ERTSS. These are the only
algorithms that have been used for over half a century in practical applications and there are good reasons for that they simply work. Statistical
linearization can sometimes be used to enhance implementations of the
EKF afterwards by replacing some of the function evaluations by their expectations. Otherwise the SLF is a theoretical tool rather than a practical
filtering algorithm.

204

13.1 Which method should I choose?

205

With some models the EKF and ERTSS do not work well or at all, and
in that case we can move to the sigma-point methods. The spherical cubature and unscented methods have the advantage of being computationally
quite light, but still they tend to produce very good results. However, these
methods have the problem that their error estimates might not always be
consistent with the actual errors, a problem which the EKF/ERTSS methods also tend to have. The unscented transform has more parameters to
tune for a particular problem than the spherical cubature method, which
can be an advantage or a disadvantage (recall that the cubature spherical
method is an unscented transform with a certain selection of parameters).
The GaussHermite based methods tend to be more consistent in errors and
are thus more robust approximations, but have the disadvantage of having
high computational complexity. One should always remember that there
is no guarantee that using more complicated filtering and smoothing algorithms would actually improve the results, therefore it is a good idea to
always test the EKF and ERTSS first. The bootstrap filter has the advantage that it is very easy to implement and thus it can sometimes be used as
a reference solution when testing the performance and debugging Gaussian
approximation based filters and smoothers.
If the problem has a more complicated form which cannot be fitted into
the non-linear Gaussian framework or when the Gaussian approximations
do not work for other reasons, we need to go to particle based solutions.
Because the bootstrap filter is very easy to implement, it (and probably one
of the particle smoothers) should be the first option to test with a sufficiently large number of particles. However, the clear disadvantage of particle methods is the high computational load and thus it is a good idea
to check at quite an early stage if any of the states or parameters can be
marginalized out (RaoBlackwellized) exactly or approximately. If this
is the case, then one should always prefer marginalization to sampling.1
The other thing to check is if it is possible to use the optimal or almost optimal importance distribution in the particle filter. In principle, non-linear
Gaussian approximation based filters can be used to form such importance
distributions, but this may also lead to overly heavy computational methods
as well as to convergence problems. If they are used, then it might be advisable to artificially increase the filter covariances a bit or to use Students
t distributions instead of using the Gaussian approximations as such.
1

The rule of thumb is: use Monte Carlo sampling only as a last resort when all the other
options have failed.

206

Epilogue

When it comes to parameter estimation, it is generally a good idea to

use the same approximations in the parameter estimation method as will
be used in the final application, assuming that the parameter estimation results will later be used in filters and smoothers to solve a state estimation
problem. Furthermore, if a single parameter estimation result (point estimate) is needed anyway, ML and MAP estimates are not bad choices, but
it might be useful to check the spread of the posterior distribution of parameters using an MCMC method. But if the true values of the parameters are
of interest, then the combination of particle filtering and MCMC is probably the safest bet. However, one should remember that estimating the true
parameters of the system is possible only in simulated scenarios and in real
applications the models used will be more or less wrong anyway. On the
other hand, we should be careful not to ruin already probably inaccurate
models with bad approximations of filters and smoothers.

13.2 Further topics

This book is mainly concerned with non-linear Kalman filtering and
smoothing as well as particle filtering and smoothing approaches to
Bayesian filtering and smoothing, but numerous other methods exist as
well. It is impossible to list all of them, but below we try to give pointers
to some of the methods. Regarding filters and smoothers themselves, there
are also various subareas that we did not discuss and we try to give some
pointers to them as well.
First of all, one huge area that we have not mentioned at all is continuous time filters and smoothers. In these methods the dynamics of the state
and sometimes the measurements as well are modeled using stochastic differential equations (SDEs) (ksendal, 2003). The full theory of Bayesian
filtering in such models can be found in the classic book of Jazwinski
(1970) and the smoothing theory is due to Striebel (1965) and Leondes
et al. (1970). The extended Kalman type of filter approximation can be
found in the above-mentioned references as well. Extensions of unscented
Kalman filters and smoothers to the continuous-time setting can be found
in Sarkka (2006, 2007, 2010). Extensions of Gaussian filters and smoothers
to continuous-time setting have been discussed in Singer (2008); Arasaratnam et al. (2010); Singer (2011); Sarkka and Solin (2012); Sarkka and Sarmavuori (2013). Extensions of particle filters and smoothers to continuoustime setting can be found, for example, in Crisan and Rozovskii (2011);
Sarkka and Sottinen (2008); Murray and Storkey (2011), and references
therein.

13.2 Further topics

207

There also exist various other kinds of Gaussian integration methods that
we have not presented here that could be used for constructing new kinds
of Gaussian filters and smoothers (see, e.g., OHagan, 1991; Nrgaard
et al., 2000; Lefebvre et al., 2002; Wu et al., 2006; Sarkka and Hartikainen,
2010b; Sandblom and Svensson, 2012). One particularly interesting approach is to approximate the non-linear functions with a Gaussian process
based non-parametric model which is fitted using a finite number of sample
points (Deisenroth et al., 2009, 2012).
One useful class of discrete-time methods is the multiple model approaches such as the generalized pseudo-Bayesian methods (GPB1 and
GPB2) as well as the interacting multiple model (IMM) algorithm (BarShalom et al., 2001). These methods can be used for approximating the
Bayesian solutions to problems with a fixed number of models or modes
of operation. The active mode of the system is described by a discrete latent variable which is modeled as a discrete-state Markov chain. Given the
value of the latent variable, the system is (approximately) Gaussian. The
GPB1, GPB2, and IMM algorithms are based on forming a mixture of
Gaussians approximation (a bank of Kalman or extended Kalman filters)
to the Bayesian filtering solutions by using moment matching.
The above-mentioned multiple model methods are also closely related to
so-called expectation correction (EC, Barber, 2006) and expectation propagation (EP, Zoeter and Heskes, 2011) methods, which can also be used
for Bayesian filtering and smoothing in switching linear dynamic systems
(SLDS), which is another term used for multiple mode/model problems.
These models can also be considered as special cases of the conditionally Gaussian models considered in the previous section and the history of
similar approximations dates back to the works of Alspach and Sorenson
(1972) and Akashi and Kumamoto (1977). The relationship between various methods for this type of model has recently been analyzed by Barber
(2011).
When the measurement model is non-Gaussian (e.g., Students t), it is
sometimes possible to use variational Bayes approximations (Agamennoni
et al., 2011; Piche et al., 2012) to yield to tractable inference. The expectation propagation (EP) algorithm (Ypma and Heskes, 2005) can also be
used for approximate inference in non-linear and non-Gaussian dynamic
systems. Both of these approaches are also closely related to the Gaussian filters and smoothers considered in this book. Variational Bayesian
approximations can also be used for estimation of unknown time-varying
parameters in state space models (Sarkka and Nummenmaa, 2009).

208

Epilogue

In the multiple target tracking context there exist a number of specific

methods to cope with the problems arising there, namely, the data association problem and an unknown numbers of targets. The classical approaches
to the multiple target tracking problem can be found in the books of BarShalom and Li (1995) and Blackman and Popoli (1999). For more recent
approaches the reader is referred to Ristic et al. (2004) and Challa et al.
(2011) (see also Sarkka et al., 2007b).
There are a number of other important topics that have had to be omitted
here. For example, the CramerRao lower bounds (CRLB, see, e.g., Ristic
et al., 2004) are theoretical lower bounds for the mean-squared error that
can be achieved with any non-linear filter in a given filtering problem. We
have also omitted the observability and controllability questions of linear
and non-linear systems (see, e.g., Kailath et al., 2000; Bar-Shalom et al.,
2001), which are related to the question of whether it is possible to determine the state of a given system from the available measurements at all. A
somewhat related issue is the question that under what conditions does a
particle filter converge to the true distribution. For more details on this topic
the reader is referred to the works of Crisan and Doucet (2002) and Hu et al.
(2008, 2011). The numerical stability of linear and non-linear Kalman filters and RTS smoothers can sometimes also be enhanced by using square
root versions of them. This kind of method can be found, for example, in
the works of Bierman (1977), Grewal and Andrews (2001), Van der Merwe
and Wan (2001), and Arasaratnam and Haykin (2009, 2011).

Appendix
Additional material

A.1 Properties of Gaussian distribution

Definition A.1 (Gaussian distribution) A random variable x 2 Rn has a
Gaussian distribution with mean m 2 Rn and covariance P 2 Rnn if its
probability density has the form

1
1
T
1
exp
.x m/ P .x m/ ;
N.x j m; P / D
.2 /n=2 jP j1=2
2
(A.1)
where jP j is the determinant of the matrix P .
Lemma A.1 (Joint distribution of Gaussian variables) If random variables x 2 Rn and y 2 Rm have the Gaussian probability distributions
x N.m; P /;
y j x N.H x C u; R/;

(A.2)

then the joint distribution of x; y and the marginal distribution of y are

given as

x
m
P
P HT
N
;
;
y
Hm C u
H P H P HT C R
y N.H m C u; H P HT C R/:

(A.3)

Lemma A.2 (Conditional distribution of Gaussian variables) If the random variables x and y have the joint Gaussian probability distribution

x
a
A C
N
;
;
(A.4)
y
b
CT B

209

210

Additional material

then the marginal and conditional distributions of x and y are given as

follows:
x N.a; A/;
y N.b; B/;
x j y N.a C C B

y j x N.b C C T A

.y
1

b/; A
a/; B

C B 1 C T /;
CT A

C/:

(A.5)

A.2 Cholesky factorization and its derivative

The Cholesky factor of the symmetric positive definite matrix P is a lower
triangular matrix A such that
P D A AT :

(A.6)

The matrix A can be computed by the Cholesky factorization algorithm

(see, e.g., Golub and van Loan, 1996) presented below.
Algorithm A.1 (Cholesky factorization) The Cholesky factor A of the
matrix P 2 Rnn can be computed as follows:
procedure CHOL(P )
for i
1 :q
: : n do
P
2
Ai i D Pi i
k<i Ai k
for j
i C 1 : : :P
n do

Aj i D Pj i
k<i Aj k Ai k =Ai i
end for
end for
return A
end procedure
The partial derivative of the Cholesky factor @A=@ with respect to a
scalar parameters can be computed using the following algorithm once
P and @P =@ are known. The algorithm can be derived by formally differentiating the Cholesky factorization algorithm equations.
Algorithm A.2 (Partial derivative of Cholesky factorization) The partial
derivative D D @A=@ of the Cholesky factor of P 2 Rnn with respect to
a scalar parameter can be computed as follows:
procedure DCHOL(P ; @P =@)
for i
1 :q
: : n do
P
2
Pi i
Ai i
k<i Ai k

A.2 Cholesky factorization and its derivative

P
Di i
.@Pi i =@
k<i 2Di k Ai k /=Ai i =2
for j
i C 1 : : : nPdo
Aj i
.Pj i
Aj k Ai k /=Ai i
k<iP
temp
@Pj i =@
k<i .Dj k Ai k C Aj k Di k /
Dj i
temp=Ai i .Di i =Ai i / Aj i
end for
end for
return D
end procedure

211

Another way to compute the same derivative is via the following theorem.
Theorem A.1 (Partial derivative of Cholesky factorization) The partial
derivative @A=@ of the lower triangular Cholesky factor A such that P D
A AT with respect to a scalar parameter can be computed as

@A
1 @P
T
;
(A.7)
D A A
A
@
@
where ./ is a function returning the lower triangular part and half the
diagonal of the argument as follows:
8

if i > j;
<Mij ;
ij .M/ D 21 Mij ; if i D j;
(A.8)

:
0;
if i < j:
Proof We use a similar trick that was used in the derivation of the time
derivative of the Cholesky factor in Morf et al. (1978). We have
P D A AT :

(A.9)

By taking the derivative with respect to we get

@P
@A T
@AT
D
A CA
:
@
@
@
Multiplying from the left with A

and from the right with A

(A.10)
T

gives

@P
@A
@AT
A TDA 1
C
A T:
(A.11)
@
@
@
Now the right-hand side is the sum of a lower triangular matrix and an
upper triangular matrix with identical diagonals. Thus we can recover
A

Additional material

212

@A=@ via
A

@A
D A
@

@P
A
@

;

(A.12)

where the function ./ returns the (strictly) lower triangular part of the
argument and half of the diagonal. Multiplying from the left with A gives
the result.

A.3 Parameter derivatives for the Kalman filter

Theorem 12.3 gives the energy function (i.e., the negative logarithm of the
unnormalized posterior distribution) of the parameters for the following
linear Gaussian model:
xk D A./ xk

C qk

yk D H./ xk C rk ;

(A.13)

where qk 1 N.0; Q.//, rk N.0; R.//, and x0 N.m0 ./; P0 .//.

The parameters derivatives which are needed, for example, for implementing a gradient based optimization method for finding ML or MAP estimates
can be evaluated via the following sensitivity equations (Gupta and Mehra,
1974) which can be derived by termwise differentiation of the energy function and Kalman filter equations in Theorem 12.3.
Theorem A.2 (Energy function derivative for linear Gaussian model I)
The derivative of the energy function given in Theorem 12.3 can be computed via the following recursion along with Kalman filtering:

@Sk ./
@'k 1 ./
1
@vk ./
@'k ./
1
D
C tr Sk ./
C vkT ./ Sk 1 ./
@i
@i
2
@i
@i
@S
./
1 T
k
v ./ Sk 1 ./
Sk 1 ./ vk ./;
2 k
@i
(A.14)
where on the Kalman filter prediction step we compute
@mk ./
@A./
@mk 1 ./
D
mk 1 ./ C A./
;
@i
@i
@i
@Pk ./
@A./
@Pk 1 ./ T
D
Pk 1 ./ AT ./ C A./
A ./
@i
@i
@i
@AT ./
@Q./
C A./ Pk 1 ./
C
;
@i
@i

(A.15)

A.3 Parameter derivatives for the Kalman filter

213

and on the Kalman filter update step we compute

@mk ./
@vk ./
@H./
D
mk ./ H./
;
@i
@i
@i
@P ./ T
@H./
@Sk ./
D
Pk ./ HT ./ C H./ k
H ./
@i
@i
@i
@HT ./
@R./
C H./ Pk ./
C
;
@i
@i
@Pk ./ T
@Kk ./
@HT ./ 1
D
H ./ Sk 1 ./ C Pk ./
Sk ./
@i
@i
@i
@Sk ./ 1
Sk ./;
Pk ./ HT ./ Sk 1 ./
@i
@mk ./
@mk ./
@Kk ./
@vk ./
D
C
vk ./ C Kk ./
;
@i
@i
@i
@i
@Pk ./ @Kk ./
@Pk ./
D
Sk ./ KTk ./
@i
@i
@i
@KTk ./
@Sk ./ T
Kk ./
Kk ./ Kk ./ Sk ./
:
@i
@i

(A.16)

The recursion should be started from the initial condition @'0 ./=@ D
@ log p./=@ .
Another way to compute the same derivative is by using Fishers identity
(Equation 12.32) together with the expression for Q in Theorem 12.4. The
result is the following.
Theorem A.3 (Energy function derivative for linear Gaussian model II)
The derivative of the energy function given in Theorem 12.3 can be computed as

@ log p./
@Q.; .n/ /
@'T ./
(A.17)
D
.n/ ;
@
@
@
D

214

Additional material

where

@Q.; .n/ /
.n/
@i
D

1
T
T
1 @P0
1 @Q
1 @R
D
tr P0
tr Q
tr R
2
@i
2
@i
2
@i
)
(
i
h
@P
1
0
C tr P0 1
P 1 P0s C .ms0 m0 / .ms0 m0 /T
2
@i 0
(
"
#)
T
1
@m
@m
0
0
C tr P0 1
.ms0 m0 /T C .ms0 m0 /
2
@i
@i
(
)
h
i
T
1 @Q
1
T
T
T
C tr Q
Q
CA
AC C AA
2
@i
(
"
#)
T
@AT @A T @A
@AT
1
T
tr Q
C
C C
A C A
2
@i
@i
@i
@i
)
(
i
h
T
@R
C tr R 1
R 1 D B HT H BT C H HT
2
@i
(
"
#)
T
@HT @H T @H
@HT
1
T
tr R
B
B C
H C H
;
2
@i
@i
@i
@i
(A.18)
where all the terms are evaluated at .

A.4 Parameter derivatives for the Gaussian filter

In this section we consider the computation of the gradient of the Gaussian
filtering based energy function in Algorithm 12.6 which was considered
with models of the form
xk D f .xk

1 ; /

C qk

yk D h.xk ; / C rk :

(A.19)

In order to compute the derivative, it is convenient to first rewrite the expectations as expectations over unit Gaussian distributions as follows:
Z
mk ./ D f .xk 1 ; / N.xk 1 j mk 1 ./; Pk 1 .// dxk 1
Z
p
D f .mk 1 ./ C Pk 1 ./ ; / N. j 0; I/ d:
(A.20)

A.4 Parameter derivatives for the Gaussian filter

215

The derivative of this expression can now be computed as

Z "
p
@mk ./
D
Fx .mk 1 ./ C Pk 1 ./ ; /
@i
!
p
@ Pk 1 ./
@mk 1 ./
C

@i
@i
#
p
@f
C
.mk 1 ./ C Pk 1 ./ ; / N. j 0; I/ d:
@i
Assuming that we arepusing the Cholesky factorization based matrix square
root, the derivative @ Pk 1 ./=@i can be computed with Algorithm A.2
or Theorem A.1 given in Section A.2.
The above form is directly suitable for sigma-point methods, because
they are based on the same change of variables. That is, the corresponding
derivative of the sigma-point approximation will be
"
X
p
@mk ./

Wj Fx .mk 1 ./ C Pk 1 ./ .j / ; /
@i
j
!
p
@ Pk 1 ./ .j /
@mk 1 ./

C

@i
@i
#
p
@f
.mk 1 ./ C Pk 1 ./ .j / ; / ;
C
(A.21)
@i
where Wj and .j / are the weights and unit sigma points of the used sigmapoint method. A nice thing in the above expression is that it is exactly the
derivative of the sigma-point approximation to mk ./.
The derivatives of the Gaussian filtering based energy function can now
be expressed as follows.
Algorithm A.3 (Derivatives of Gaussian filtering based energy function)
The recursion for the derivative of the approximate energy function is

@'k 1 ./
1
@Sk ./
@vk ./
@'k ./
1
'
C tr Sk ./
C vkT ./ Sk 1 ./
@i
@i
2
@i
@i
1 T
@Sk ./ 1
Sk ./ vk ./:
vk ./ Sk 1 ./
2
@i
(A.22)

Additional material

216

The derivatives of the prediction step are

p
Z "
@m
p
@mk
@ Pk
k 1
D
Fx mk 1 C Pk 1 ;
C
@i
@i
@i
#

p
@f
C
mk 1 C Pk 1 ;
N. j 0; I/ d;
@i
p
Z "
@m
p
@Pk
@ Pk
k 1
D
Fx mk 1 C Pk 1 ;
C
@i
@i
@i
#
@m
p
@f
k
C
mk 1 C Pk 1 ;
@i
@i
"
#T

p
f mk 1 C Pk 1 ;
mk
N. j 0; I/ d
Z "
C
f mk

p
Pk
1 C

;

#
mk

p

@m
@ Pk 1
k 1
C

1 ;
@i
@i
#
@m T
p
@f
@Qk 1
k
C
mk 1 C Pk 1 ;
N. j 0; I/ d C
;
@i
@i
@i
(A.23)
"

Fx mk

p
Pk
1 C

where Fx is the Jacobian matrix of x 7! f .x; /. In the above expressions

as well as in the following we have dropped the dependencies of various
terms on the parameters to simplify the notation. The derivatives of the
update step are
!
p
Z "
q

@m
@
P
@k
k
k
D
Hx mk C Pk ;
C

@i
@i
@i
#
q

@h
N. j 0; I/ d;
C
mk C Pk ;
@i
@vk
D
@i
@Sk
D
@i

@k
;
@i
"
Z

q

Hx mk C Pk ;

!
p
@ Pk
@mk
C

@i
@i

A.4 Parameter derivatives for the Gaussian filter

#
q
@
@h
k
C
mk C Pk ;
@i
@i
"
#T
q

h mk C Pk ;
k N. j 0; I/ d
Z "
q

C
h mk C Pk ;

217

#
k

!
p
@ Pk
@mk
C

@i
@i
#
q
@ T
@Rk
@h
k
mk C Pk ;
N. j 0; I/ d C
;
C
@i
@i
@i
!T
Z ( p
q

@ Pk
@Ck
D
h mk C Pk ;
k
@i
@i
"
!
p
q
q

@m
P
@
k
k
C Pk Hx mk C Pk ;
C

@i
@i
# )
q
@ T
@h
k
C
mk C Pk ;
N. j 0; I/ d;
@i
@i
"

q

Hx mk C Pk ;

@Ck
@Kk
@Sk
D
Sk 1 Ck Sk 1
S 1;
@i
@i
@i k
@mk
@mk
@Kk
@vk
D
C
vk C Kk
;
@i
@i
@i
@i
@Pk
@Kk
@Sk T
@Pk
D
Sk KTk Kk
K
@i
@i
@i
@i k

Kk Sk

@KTk
;
@i
(A.24)

where Hx is the Jacobian matrix of x 7! h.x; /. The derivatives of the

Cholesky factors can be computed with Algorithm A.2 or Theorem A.1
given in Section A.2.
The corresponding sigma-point approximations can be obtained by approximating the integrals analogously to Equation (A.21). The resulting
derivative will be exact in the sense that it is the exact derivative of the
corresponding sigma-point based approximation to the energy function.
We could also change back to the original variable, which gives, for
example, the following representation for the derivative of the predicted

Additional material

218

mean:
@mk
D
@i

Z "

@f .xk 1 ; /
Fx .xk 1 ; / g.xk 1 ; / C
@i

N.xk

j mk

1 ; Pk 1 /

dxk

(A.25)

where
g.xk

1 ; /

@mk
D
@i

p
@ Pk
C
@i

.xk

1/ :

(A.26)

The derivation of the full set of equations is left as an exercise to the reader.

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Index

adaptive Markov chain Monte Carlo, 180

adaptive Metropolis, 180
adaptive resampling, 124
applications
audio signal processing, 6
biological processes, 6
brain imaging, 5
Gaussian process regression, 5
global positioning system, 2
GPS/INS, 4
inertial navigation, 3
integrated inertial navigation, 4
inverse problems, 7
learning systems, 6
multiple target tracking, 3
physical systems, 7
spread of infectious diseases, 6
stochastic optimal control, 6
target tracking, 2
telecommunications, 6
backward-simulation particle smoother,
167
batch solution
general Bayesian, 31
to linear regression, 28
Bayes rule, 19
Bayesian estimation of parameters, 174
Bayesian filter, 54
Bayesian filtering
applications, 2
as Bayesian inference, 8
equations, 54
origins, 7
Bayesian inference
building blocks, 19
connection with ML, 17
philosophy, 17

Bayesian optimal filtering, see Bayesian

filtering
Bayesian optimal smoothing, see
Bayesian smoothing
Bayesian smoother, 134
Bayesian smoothing
applications, 2
as Bayesian inference, 8
equations, 134
origins, 7
two-filter, 139
bootstrap filter, 126
ChapmanKolmogorov equation, 54
Cholesky factorization
algorithm, 210
time derivative, 210
cubature integration, see spherical
cubature integration
cubature Kalman filter
additive, 111
for pendulum tracking, 114
non-additive, 112
cubature RTS smoother
additive, 157
non-additive, 158
degeneracy problem, 123
dynamic linear models, 8
dynamic model
definition, 10
of probabilistic state space model, 51
energy function, 177
derivative for linear Gaussian model,
212, 213
derivative for non-linear Gaussian
model, 215
linear Gaussian model, 187

229

230

INDEX

non-linear Gaussian model, 192

particle filter approximation, 195
recursion, 177
SIR based approximation, 195
expectation-maximization
algorithm, 183
as coordinate ascend, 182
backward-simulation smoother based
evaluation of Q, 198
evaluation of linear Gaussian Q, 189
evaluation of non-linear Gaussian Q,
193
for linear Gaussian models, 191
maximization of linear Gaussian Q,
191
reweighting smoother based
evaluation of Q, 198
extended Kalman filter
first order additive, 69
first order non-additive, 71
for pendulum tracking, 73
second order additive, 73
extended RTS smoother
additive, 144
filtering distribution
definition, 54
filtering model, see state space model
Fishers identity, 178, 185
for linear Gaussian model, 213
fixed-lag smoother, 164
fixed-point smoother, 162
FourierHermite Kalman filter, 81
FourierHermite RauchTungStriebel
smoother, 147
GaussHermite cubature, 102
GaussHermite Kalman filter
additive, 104
for pendulum tracking, 105
GaussHermite quadrature, 22, 101
GaussHermite RTS smoother
additive, 155
Gaussian approximation
definition, 22
in extended Kalman filter, 69
Gaussian assumed density filter, see
Gaussian filter
Gaussian distribution, 209
Gaussian filter
additive, 98

non-additive, 98
Gaussian fixed-lag smoother, 164
Gaussian fixed-point smoother, 162
Gaussian moment matching, 96, 97
Gaussian process regression, 6
Gaussian random walk, 52
for linear regression, 34
Gaussian RTS smoother
additive, 154
non-additive, 155
Hermite polynomial, 100
Hessian matrix, 65
importance sampling, 23, 119
information filter, 141
Jacobian matrix, 65
Kalman filter
basic, 57
cubature, 111, 112
extended, 69, 71, 73
for car tracking, 59
for Gaussian random walk, 58
for linear regression, 30
for linear regression with drift, 35
GaussHermite, 104
Gaussian, 98
statistically linearized, 78
unscented, 87, 88
Kalman smoother, see RTS smoother
Laplace approximation, 178
least squares estimate, 24
linear approximation, 66, 68
linear quadratic Gaussian regulator, 8
linear regression, 27
linearization, see linear approximation
local linearization, 125
loss function
01, 21
absolute error, 21
definition, 21
quadratic error, 21
MAP-estimate, 22, 178
marginal likelihood of parameters, 176
marginalized transform, 92
Markov chain Monte Carlo, 23, 179
matrix inversion lemma, 30
measurement model

INDEX
definition, 19
joint distribution of measurements, 53
of probabilistic state space model, 51
MetropolisHastings, 179
ML-estimate, 18, 178
MMSE-estimate, 21
Monte Carlo method, 23, 116
non-linear transform
additive Gaussian moment matching,
96
additive linear approximation, 66
additive quadratic approximation, 68
additive statistically linearized
approximation, 76, 77
additive unscented transform
approximation, 84
non-additive Gaussian moment
matching, 97
non-additive linear approximation, 68
non-additive statistically linearized
approximation, 76
non-additive unscented transform
approximation, 85
on-line learning, 33
optimal filtering, see Bayesian filtering
optimal importance distribution, 125
optimal smoothing, see Bayesian
smoothing
parameter estimation
definition, 174
Gaussian random walk, 188
linear Gaussian models, 187
pendulum model, 196
via Gaussian filtering and smoothing,
192
via particle filtering and smoothing,
195
via RaoBlackwellization, 199
via state augmentation, 185
particle filter
algorithm, 124
for cluttered pendulum tracking, 128
for pendulum tracking, 127
RaoBlackwellized, 130
particle marginal MetropolisHastings,
196
particle Markov chain Monte Carlo, 196
particle smoother

231

backward-simulation, 167
Kims approximation, 172
marginal, 169
RaoBlackwellized, 171
reweighting, 169
SIR, 165
posterior distribution
batch linear regression model, 29
definition, 19
joint distribution of states, 53
recursive linear regression model, 30
posterior mean, 21
prior distribution
definition, 19
joint distribution of states, 53
probabilistic notation, 27
quadratic approximation, 68
quadrature Kalman filter, see
GaussHermite Kalman filter
RaoBlackwellization of parameters, 199
RaoBlackwellized particle filter, 130
RaoBlackwellized particle smoother,
171
RauchTungStriebel smoother, see RTS
Smoother
recursive solution
general Bayesian, 33
to linear regression, 30
resampling, 123
reweighting particle smoother, 169
robust adaptive Metropolis, 180
RTS smoother
basic, 136
cubature, 157, 158
extended, 144
for car tracking, 138
for Gaussian random walk, 137
GaussHermite, 155
Gaussian, 154, 155
statistically linearized, 146
unscented, 148, 150
sample impoverishment, 126
second order approximation, see
quadratic approximation
sensitivity equations, 178, 189
linear Gaussian model, 212
non-linear Gaussian model, 215
sequential importance resampling, 124

232

INDEX

sequential importance sampling, 122

SIR particle smoother, 165
spherical cubature integration
algorithm, 108
as unscented transform, 110
state augmentation, 185
state space model
autoregressive (AR) model, 42
car tracking, 43
conditional independence, 52
Gaussian random walk, 52
generalized linear model, 41
linear Gaussian, 56
linear-in-parameters regression model,
40, 41
Markov property, 52
non-linear additive Gaussian, 69
non-linear non-additive Gaussian, 71
notation, 35
pendulum tracking, 45
probabilistic, 51
time-varying autoregressive (TVAR)
model, 42
statistical decision theory, 20
statistical inversion, 5, 9
statistical linear regression, 92
statistical linearization, see statistically
linearized approximation

statistically linearized approximation, 76,

77
statistically linearized filter
additive, 78
for pendulum tracking, 79
non-additive, 78
statistically linearized RTS smoother
additive, 146
stratified resampling, 123
Taylor series, 65
time-invariant model, 36
two-filter smoothing, 139
unscented Kalman filter
additive, 87
for pendulum tracking, 91
non-additive, 88
unscented RTS smoother
additive, 148
non-additive, 150
unscented transform, 81
additive, 84
as cubature integration, 110
non-additive, 85
utility function, 21
Wiener filter, 7