Rao-Blackwellized Particle Filter Using Noise Adap

This article has been accepted for publication in IEEE Transactions on Aerospace and Electronic Systems.
This is the author's version which has not been fully edited and
content may change prior to final publication. Citation information: DOI 10.1109/TAES.2024.3409644
simultaneously estimating unknown noise variances with

state vector utilizing a conjugate-exponential framework
causes the joint posterior probability density function
Rao–Blackwellized Particle (PDF) to be intractable [5], [6]. In this article we leverage
a variational Bayesian noise-adaptive Kalman Filter (VB-
Filter using Noise Adaptive AKF) for linear state-space models which was proposed
in [4]. It employs a recursive VB framework to estimate
Kalman Filter for Fully Mixing states and unknown measurement noise variances jointly.
More specifically, we introduce the Monte Carlo varia-
State-Space Models tional Bayesian (MCVB) filter that substitutes the Kalman
filter in the fully mixing models described in [7] with
a VB-AKF for each particle. Previously, [8] proposed
a variational Bayesian Rao–Blackwellized Monte Carlo
data association (VB-RBMCDA) algorithm to jointly
Tabish Badar estimate the linear state vector and the measurement
Department of Electrical Engineering and Automation, Aalto noise variances. However, the VB-RBMCDA algorithm is
University, 02150 Espoo, Finland concerned with the hierarchical type of (RBPF) models
Simo Särkkä, Senior Member, IEEE presented in [9]. In this paper, we aim to consider fully
Department of Electrical Engineering and Automation, Aalto mixing types of (RBPF) models [7]. Fully mixing RBPF
University, 02150 Espoo, Finland
models are widely utilized in positioning, navigation, and
Zheng Zhao, Member, IEEE tracking applications (e.g., [7], [10], [11], [12]).
Department of Information Technology, Uppsala University, 75237 The existing literature on noise adaptation, such as
Uppsala, Sweden
[2], [3], [13], [14], mainly concerns the hierarchical
Arto Visala, Member, IEEE type of RBPF models. In such applications, a tractable
Department of Electrical Engineering and Automation, Aalto
University, 02150 Espoo, Finland
substructure for the conditionally linear states of the
underlying state-space model cannot be estimated by the
Kalman filter considering a fully mixing RBPF model. In
Abstract—This article proposes a Rao–Blackwellized parti-
cle filter (RBPF) for fully mixing state-space models that re- this article, the proposed MCVB filter utilizes VB-AKF
place the Kalman filter within the RBPF method with a noise- for each particle and leverages the computational benefit
adaptive Kalman filter. This extension aims to deal with unknown of dimension reduction by marginalizing the original
time-varying measurement variances. Consequently, a variational state vector as in [7] and augmenting the noise variance
Bayesian (VB) adaptive Kalman filter estimates the conditionally
parameters to the linear sub-problem. Hence, we extend
linear states and the measurement noise variances whereas the
nonlinear (or latent) states are handled by sequential Monte Carlo the noise adaptation from the hierarchical type of RBPF
(MC) sampling. Thus, by modifying the underlying mathematical models introduced in [8] to the fully mixing RBPF models
framework of RBPF, we construct the Monte Carlo Variational [7].
Bayesian (MCVB) filter. A stopping criterion for VB approximations Another distinction between MCVB and VB-
is proposed by employing Tikhonov regularization. Additionally,
RBMCDA [8] is that MCVB limits the number of it-
an analysis of the numerical stability of the proposed filtering
mechanism is presented. The performance of the MCVB filter is erative updates Nmax at each MC update step. Such VB-
illustrated in simulations and mobile robot tracking experiments in iterations are required to minimize the Kullback–Leibler
the presence of measurement model uncertainties. (KL) divergence constraint between true and approximate
Index Terms—Adaptive Kalman filter, Monte Carlo meth- PDFs [5], [15]. Here, we propose a principled approach to
ods, Particle filter, Rao–Blackwellization, Tikhonov regularization, regularize Nmax by introducing a stopping criterion based
tracking, variational Bayesian methods on Morozov’s discrepancy principle. Thus, we control the
VB-iterations such that the linear state estimation by VB-
I. Introduction
AKF within the MCVB filter is a Tikhonov-regularized
solution [16]. Consequently, the computational cost of the
A key problem for target tracking consists in the MCVB is the same as with the fully mixing RBPF [7]
presence of measurement noise with unknown statistics multiplied by a constant factor, where the constant factor
[1], [2], [3], [4]. In the Bayesian approach to the problem, is defined by the number of VB-iterations in each cycle.
Nevertheless, the MCVB filter has a higher computational
Manuscript received XXXXX 00, 0000; revised XXXXX 00, 0000; cost than VB-AKF as it is an extension of the fully mixing
accepted XXXXX 00, 0000. RBPF model [7].
(Corresponding author: T. Badar)
The main contributions of this paper are the following:
Zheng Zhao is with Uppsala University (e-mail: zheng.zhao@it.uu.se). 1) we extend the hierarchical (RBPF) models for noise
All other authors are with Aalto University (e-mails: first- estimation in [8] to fully mixing (RBPF) models proposed
name.lastname@aalto.fi).
in [7]; 2) we propose a method that embeds a noise-
adaptive Kalman filter within a particle filtering setup; 3)
0018-9251 © 2020 IEEE we theoretically analyze a set of boundedness conditions
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This work is licensed under a Creative Commons Attribution 4.0 License. For more information, see https://creativecommons.org/licenses/by/4.0/
This article has been accepted for publication in IEEE Transactions on Aerospace and Electronic Systems. This is the author's version which has not been fully edited and
for the importance weights, which allows the numerical variances are captured by propagating its parameters using
stability to be taken into account in the proposed al-
gorithm in the bounded input bounded output sense; 4) −
αk,j = ρj αk−1,j , (4a)
we constrain the number of fixed-point VB-iterations in
−
VB-AKF using Morozov’s discrepancy principle to relax βk,j = ρj βk−1,j , (4b)
the additional computational cost; and 5) we show that
where ρ ∈ (0, 1] , such that ρ = 1 corresponds to
the proposed method outperforms many commonly used
stationary variance and a lower value implies that the
filters via synthetic and real-world experiments.
variance is assumed to change rapidly [4], [17]. In turn,
ρ represents a forgetting factor that determines the rate
II. Problem Formulation at which the true variance value is tracked. Moreover, the
above formulation of the variance parameters ensures that
Let us consider the following fully mixing type of 2
the marginal distribution of σk,j will always be an Inv-Γ
state-space model [7]: distribution [4].

uk gk−1 (uk−1 ) Bk−1 (uk−1 ) Thus, we can factorize the joint posterior distribution
= + x + qk−1 ,
xk fk−1 (uk−1 ) Ak−1 (uk−1 ) k−1 as
(1a)
p(xk , u0:k , Σk |y1:k ) = p(xk , Σk |u0:k , y1:k ) p(u0:k |y1:k ) .
yk = hk (uk ) + Hk (uk )xk + rk , (1b) | {z } | {z }
Linear Latent
2 2
Σk = diag(σk,1 , . . . , σk,d ), (1c) (5)
Hence, the density at the prediction step is
where k = 1, 2, . . . is the time step, and qk ∼
N (0, Qk (uk )) is a Gaussian noise with covariance matrix p(xk , uk , Σk |u0:k−1 , y1:k−1 )
Qk (uk ). The state components xk ∈ Rn and uk ∈ Rm
= p(xk , uk |u0:k−1 , y1:k−1 )p(Σk |y1:k−1 ), (6)
are the linear and nonlinear (latent) parts, respectively, of
the joint state vector, and yk ∈ Rd is the measurement where
vector. However, differing from the standard fully mixing
model, here the measurement noise rk ∼ N (0, Σk ) is p(xk , uk |u0:k−1 , y1:k−1 ) =
assumed to possess a time-varying (diagonal) covariance
Z
matrix Σk , which follows a first-order Markovian model p(xk , uk |xk−1 , uk−1 )p(xk−1 |u0:k−1 , y1:k−1 )dxk−1
Σk ∼ p(Σk | Σk−1 ) [4]. For further discussion on the first-
order Markovian model, please see [4], [17]. The diagonal gk−1 uk Bk−1
=N + mk−1 ,
entries of the Σk matrix are the unknown time-varying fk−1 xk Ak−1
variances that we want to estimate. T u !
Bk−1 Bk−1 Qk−1 Qux k−1
For simplicity, we abbreviate P + . (7)
Ak−1 k−1 Ak−1 Qxu x
k−1 Qk−1
gk−1 ≜ gk−1 (uk−1 ), fk−1 ≜ fk−1 (uk−1 )
Notice that the dynamic model for variance parameters
and − −
αk,j , βk,j given by (4a)–(4b) yields an Inv-Γ PDF at the
Ak−1 ≜ Ak−1 (uk−1 ), Bk−1 ≜ Bk−1 (uk−1 ).
prediction step [18]. That is, the density p(Σk |y1:k−1 ) in
(6) is of the Inv-Γ form where the variance parameters
In turn, the transition probability density is are propagated by exponentially forgetting mechanism.
Thus, by conditioning p(xk , uk , Σk |u0:k−1 , y1:k−1 ) on uk ,
p(xk , uk , Σk |xk−1 , uk−1 , Σk−1 ) we get the following density at the prediction step:
= p(xk , uk |xk−1 , uk−1 )p(Σk |Σk−1 ), (2)
p(xk , Σk |u0:k , y1:k−1 ) = p(xk |u0:k , y1:k−1 )p(Σk |y1:k−1 )
with d
Y
p(xk , uk |xk−1 , uk−1 ) = N (xk |m− −
k , Pk )
−
Inv-Γ(σk,j 2 |αk,j −
, βk,j ), (8a)
! i=1
uk gk−1 Bk−1 where
=N + x ,Q . (3)
xk fk−1 Ak−1 k−1 k−1
T
Mk = Bk−1 Pk−1 Bk−1 + Quk−1 , (8b)
where, we assume that xk−1 ∼ N (xk−1 |mk−1 , Pk−1 ) is T
Qxu Mk−1 ,

Lk = Ak−1 Pk−1 Bk−1 + k−1 (8c)
Normal distributed with mean E{xk−1 } = mk−1 and
covariance Cov{xk−1 } = Pk−1 . Moreover, the variances m−
k = fk−1 + Ak−1 mk−1
2
(8d)
σk−1,j for j = 1, . . . , d are Inv-Γ distributed where + Lk uk − gk−1 − Bk−1 mk−1 ,
2 βk−1,j Pk− = Ak−1 Pk−1 ATk−1 + Qxk−1 − Lk Mk LTk , (8e)
σk−1,j =
αk−1,j with variance parameters are predicted by using (4b)–(4a).
is characterized by a shape parameter αk−1,j and a rate The predicted distribution is then updated to posterior dis-
parameter βk−1,j [15]. The heuristic dynamics of the tributions when new measurements arrive. Thus, applying
2 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. XX, No. XX XXXXX 2020
Bayes’ rule to the linear part in (5) yields the posterior III. The Sequential Monte Carlo Variational Bayesian
PDF Filter
p(xk , Σk |u0:k , y1:k ) To estimate the linear states and noise variances in
∝ p(yk |xk , uk , Σk )p(xk , Σk |u0:k , y1:k−1 ) (9) a prediction-update cycle, we use a variational approxi-
mation to the posterior p(xk , Σk |u0:k , y1:k ) following [4].
where More precisely, for each particle, the approximate is

p(yk |xk , uk , Σk ) = N yk |hk (uk ) + Hk (uk )xk , Σk .
(10) p(xk , Σk |u0:k , y1:k ) ≈ Ψx (xk )ΨΣ (Σk )
However, the posterior p(xk , Σk |u0:k , y1:k ) is intractable. d
Y
2
Furthermore, Bayes’ rule yields the following marginal = N (xk |mk , Pk ) Inv-Γ(σk,i |αk,i , βk,i ), (15a)
posterior PDF: i=1
where
p(u0:k |y1:k ) ∝ p(yk |u0:k , y1:k−1 )p(u0:k |y1:k−1 )
= p(yk |u0:k , y1:k−1 ) p(uk |u0:k−1 , y1:k−1 ) p(u0:k−1 |y1:k−1 ) . Σ− − − − −
k = diag(βk,1 /αk,1 , . . . , βk,d /αk,d ) (15b)
Hk Pk− HkT + Σ−
| {z }| {z }| {z }
Marginal Likelihood Marginal Dynamics Posterior at k − 1 Sk = k (15c)
At this stage, we need an updated set of latent vari- Kk = Pk− HkT Sk−1 (15d)
ables due to conditioning on uk before we evaluate m− Hk m−

mk = k + Kk yk − hk (uk ) − k (15e)
the posterior PDF by (9). For the marginal dynamics −
p(xk , uk |u0:k−1 , y1:k−1 ) we can compute it by marginal- Pk = Pk − Kk Sk KkT . (15f)
izing with respect to xk : Moreover, the noise parameters are updated for each
2
Z variance σk,j by
p(uk |u0:k−1 , y1:k−1 ) = p(xk , uk |u0:k−1 , y1:k−1 )dxk
1 −
αk,j = + αk,j (15g)
= N (uk |gk−1 + Bk−1 m− − T u
k , Bk−1 Pk Bk−1 + Qk−1 ). 2
(11)
As for the likelihood p(yk |u0:k , y1:k−1 ), we can marginal- − 1 2
βk,j = βk,j + (yk − hk (uk ) − Hk mk )d +
ize out Σk : 2
Hk Pk HkT dd

(15h)
p(yk |u0:k , y1:k−1 )
Z Z to acquire an updated covariance matrix
= p(yk , xk , Σk |u0:k , y1:k−1 )dxk dΣk
Z Z Σk = diag(βk,1 /αk,1 , . . . , βk,d /αk,d ). (15i)
= p(yk |xk , Σk , uk , y1:k−1 ) Notice that the update of noise parameters follows from
[4].
× p(xk , Σk |u0:k , y1:k−1 )dxk dΣk . (12) Hence, we iteratively minimize the KL-divergence
Under conditional independence of the measurements between the true and approximate posterior distributions
using (8a), we can evaluate the double integral in (12) [5], [4], [15]. The embedded VB-AKF uses parameters of
yielding, p(yk |u0:k , y1:k−1 ) Ψx (xk ) to estimate ΨΣ (Σk ), and corrects the parameters
Z Z of Ψx (xk ) using updated ΨΣ (Σk ) as describe by [4,
= p(yk |xk , uk , Σk ) N (xk |m−
k , Pk
−
)dxk Algorithm 1]. The resulting VB-iterations thus form the
following coordinate descent algorithm:
d
Y
− − (l−1)
× 2
Inv-Γ(σk,j |αk,j , βk,j )dΣk . (13) Ψ(l)
x = arg min J [Ψx (xk )ΨΣ (Σk )] (16a)
Ψx
j=1
(l)
Computing the integral above with respect to xk gives ΨΣ = arg min J [Ψ(l)
x (xk )ΨΣ (Σk )] (16b)
ΨΣ
p(yk |u0:k , y1:k−1 ) for l = 1, 2, . . . where J is the KL-divergence functional
Z
− − T given by, e.g., [18, (16)].
= N yk hk (uk ) + Hk mk , Hk Pk Hk + Σk
To approximate p(u0:k |y1:k ) in one prediction-update
d
Y cycle of a PF, we generate Nu ∈ Z+ samples for
2 − − latent variables uk−1 , linear mean estimate vector mk−1 ,
× Inv-Γ(σk,j |αk,j , βk,j )dΣk (14)
j=1 linear state covariance matrix Pk−1 , and noise covariance
where m− − matrix Σk−1 . As a result, Nu new samples of latent
k and Pk are given by (8d) and (8e) respectively. (i)
Hence, it remains to compute the intractable poste- variables uk are drawn from the marginal dynamics
(i) (i)
rior distribution p(u0:k |y1:k ). In the following sections, a model p(uk |u0:k−1 , y1:k−1 ) for i = 1, 2, . . . , Nu . Thus,
variational Bayesian approach is presented to estimate the we associate a VB-adaptive KF to each particle to acquire
(i) (i)
posterior PDFs corresponding to latent and linear parts of mk and Pk at each time step k with noise covariance
(i)
the state. matrix Σk .
BADAR ET AL.: MCVB Filter for Target Tracking. 3
−,(i) the importance distribution, we have the (so-called) Rao–

Thus, we predict the variance parameters αk,j and
−,(i) Blackwellized bootstrap version of the MCVB Filter.
βk,j by (4a)–(4a), and update by (15g)–(15h). In ad-
dition, observe that [4] considers minimization of a KL-
divergence constraint to optimally estimate the factorized A. Stopping criterion for VB-iterations
posterior for noise parameters. Similarly, optimization in a
Finding the variational Bayesian approximate to the
marginalized particle filter is introduced by maximization
posterior p(xk , Σk |u0:k , y1:k ) can be ill-posed. Hence, we
of KL-divergence constraint set in terms of time-evolution
use the Morozov discrepancy principle [16] to control the
of corresponding αk,j and βk,j parameters [3], [2]. Thus,
stopping criteria for VB-iterations. The principle suggests
by selecting an appropriate variance spread factor ρj
selecting a regularization parameter γ > 0 so that the
for each αk,j and βk,j , the joint inverse-Gamma prior
Qd 2 residual satisfies
j=1 Inv-Γ(·) on variances σk,j is sufficient as well
as optimum to completely extract p(Σk |y1:k ) (see, for ∥yk − hk (uk ) − Hk mk,γ ∥2 ≤ ξk , (23)
example, [19] for a more detailed discussion on modeling where ξk is the noise level up to which it is required
issues with conjugate priors on covariance matrices of to fit the linear state estimate mk,γ [16]. Further notice
normal PDF). that in the framework of Tikhonov regularization, the
Furthermore, it follows from (14) that the marginal Morozov discrepancy principle suggests selecting a γ
likelihood can be written as which minimizes the Tikhonov functional defined as
(i) (i)
p(yk |u0:k , y1:k−1 ) = EΣk [g(yk , Σk )|u0:k , y1:k−1 ], (17) Tγ (xk ) := ∥yk − hk (uk ) − Hk xk ∥22 + γ∥Rk (xk − m− 2
k )∥2 ,
with Σk ∼ p(Σk |y1:k−1 ) and (24)
such that Rk is a scaling matrix and m− k is some prior
(i) −,(i) belief about the solution mk,γ [16]. Then, the goal is to
g(yk , Σk ) = N yk hk (uk ) + Hk mk ,
show that the solution mk obtained by VB approxima-
−,(i) T tion is regularized given the stopping criterion for VB-
H k Pk Hk + Σk . (18)
iterations is based on the Morozov discrepancy principle,
Thus, we utilize the SMC method [9] (embedded in the i.e., we have mk = mk,γ which satisfies (23).
MCVB filter) to numerically estimate the expectation in Thus, by rewriting the posterior mean mk of the
(17). Therefore, we have variational estimate to p(xk , Σk |u0:k , y1:k ) as
NΣ
1 X
mk = arg max Ψx (xk )ΨΣ (Σk ) (25)
(i) (j) xk
EΣk [g(yk , Σk )|u0:k , y1:k−1 ] ≈ g(yk , Σk ). (19)
NΣ where the approximate distributions follow from [4]. After
j=1
Further, we draw NΣ ∈ Z+ independent random samples simplification, we get

(z)
of Σk ∼ p(Σk |y1:k−1 ) at the MC measurement update
mk = arg max exp − G(xk , Σk |u0:k , y1:k )
step. It results in the following importance weights [20]: xk
(i) (i) (i)
(i) (i) p(yk |u0:k , y1:k−1 )p(uk |u0:k−1 , y1:k−1 ) where the posterior potential function G(xk , Σk |u0:k , y1:k )
w̃k ∝ w̃k−1 (i) (i)
, is defined by combining expectations given by the inte-
π(uk |u0:k−1 , y1:k−1 )
grals given by [4, (5)–(6)]. We can express the potential
(20)
function considering a diagonal case as
(i)
where w̃k is the importance weight of ith particle at
(i) 2σk2 G(xk , Σk |u0:k , y1:k ) =
time k , π(uk |u0:k−1 , y1:k−1 ) is the importance sampling
(i)
distribution, and p(yk |u0:k , y1:k−1 ) is approximated by ∥yk − hk (uk ) − Hk xk ∥22 + σk2 ∥Rk (xk − m− 2
k )∥2 + C1 ,
(17)–(19). The importance weights are then normalized (26)
to get where the constant C1 contains terms independent of
(i) w̃
(i)
xk and Rk is Cholesky factor of (Pk− )−1 . Thus, the
wk = PN k (i) . (21) minimizer of the G with respect to xk given lin Σk is the
u
i=1 w̃k required solution mk , i.e.,
Finally, the joint posterior distribution is estimated by
mk = arg min G(xk , Σk |u0:k , y1:k ). (27)
Nu
X xk
(i) (i)
p(xk , uk , Σk |y1:k ) ≈ wk δ(uk − uk ) However, notice that
i=1
d Tγ (xk ) = 2σk2 G(xk , Σk |u0:k , y1:k ).
(i) (i)
Y (i) (i)
2
N (xk |mk , Pk ) Inv-Γ(σk,j |αk,j , βk,j ) (22) If we define γ := σk2 , we have mk = mk,γ a Tikhonov
j=1 regularized solution provided the number of VB-
where δ is the Dirac delta function. To avoid the degen- iterations (l) illustrated in (16a)–(16b) is based on
eracy of particles, resampling can be done at each time Morozov discrepancy principle.
step. Moreover, if we select the marginal dynamics as Remark 1. If the Morozov discrepancy principle is
satisfied before VB updates (i.e., for l = 1), (15b)–(15i) remain strictly positive. Consequently, the sum of impor-
will be executed only once if the computed residual (of tance weights will not vanish at the MC update step of
the linear part) already falls within bounds of (estimated) the PF. That is, the condition
standard deviations of the measurement
√ noise. A possible Nu
X (i)
choice for ξk in (23) is ξk = ∥ Σk ∥∞ . w̃k > 0 (34)
i=1
will be satisfied at the weight normalization step. Further-
more, if a standard re-sampling technique is used, such
B. Numerical stability of MC approximations as stratified sampling [22], we will obtain integer-valued
Finally, we show that the stability of VB approxima- random weights. That is, after re-sampling we have
tions of linear states together with time-varying measure- ∥w(i) (k)∥ < ∞ (35)
ment noise parameters can result in a numerically stable
MC approximation too. Thus, a structure is presented for the ith particle [21]. Consequently, the sampling im-
that consists of hypotheses under which the importance portance re-sampling (SIR) part of the sequential MCVB
weights remain bounded during MC updates. filter will produce bounded weights before and after the
Considering a bootstrap case of the sequential MCVB re-sampling/selection step.
filter, we can express the importance weight for each
Algorithm 1 Sequential MCVB Filter
particle given by (20) as
I NITIALIZATION
(i) (i) (i)
ln w̃k ∝ ln p(yk |u0:k , y1:k−1 ). (28) Initialize the particles, u0 ∼ p(u0 ) and set x0 ∼
(i) (i)
N (x0 , P0 ) for i = 1, . . . , Nu and draw noise vari-
For NΣ = 1, from (19), we get 2
ances form σ0,j ∼ Inv-Γ(α0,j , β0,j ), for j = 1, . . . , d.
−1
ln g(yk , Σk ) ∝ eTk Hk Pk− HkT + Σ− for t ≤ tend do

k ek (29)
MC I NTEGRATION
where we define the innovation vector ek = yk −hk (uk )− Compute (19) with Σk ∼ p(Σk |y1:k−1 ).
Hk m−k . Using Woodbury’s Inversion Lemma [20] to ex- W EIGHT C OMPUTATION
pand the inverse matrix term for linear states, and noticing (i)
Compute the importance weight w̃k using (20).
the alternate expressions for S TABILITY C HECK
−1 T −1 if (34) satisfies then
Pk = (Pk− )−1 + Hk Σ− k Hk (30) go to MC UPDATE and use (21).
else
and (i) (i)
go to MC PREDICTION and use uk|k = uk|k−1 .
−1
mk = Pk − Hk Σ−
k e k + (P − −1 −
k ) mk (31) end if
MC UPDATE
we get Re-sample Nu particles with replacement proba-
(i) (i) (i)
(i) −1 bility P(uk|k = uk|k−1 ) = wk .
ln w̃k = Const. + eTk Σ−k ek MC PREDICTION WITH VB-AKF
− −1
T
Hk mk − Pk (Pk− )−1 m−

− ek Σ k k . (32)
VB-AKF UPDATE
while (23) or l ≤ lmax do
At this stage, we state the following conditions: Condition Update Σk , mk , and Pk using (15b)–(15i).
1) the basis function hk (uk ) in the observation model is end while
a bounded, continuous function [21]; Condition 2) the MC PREDICTION
covariance E{rk rkT } < ∞, where Σk is a strictly positive Predict new set of Nu particles from (11).
definite matrix for all k ; and, Condition 3) a re-sampling VB-AKF PREDICTION
technique which produces integer-valued random weights Predict m− −
k and Pk using (8b)–(8e), and prop-
(see, e.g., [21] for the possible choices) is utilized. More- − −
agate αk , βk using (4a)–(4b).
over, from [18, Theorem 7], we know that bounded linear end for
state estimates mk−1 , noise covariance Σk−1 , and state
covariance Pk−1 matrices will be obtained before each Thus, by combining results from (34) and (35) for the
prediction–update cycle of the VB-adaptive KF. As a latent part with those detailed in [23] for the linear part,
result, the last two terms in (32) are bounded from above we get the stability of the sequential MCVB filter in the
and below. On the other hand, given hk (uk ) a bounded bounded input bounded output (BIBO) sense. Finally, we
continuous function, the second term in (32) will remain present the complete filtering mechanism as Algorithm 1.
strictly positive for a positive definite lat Σ−
k , which implies Remark 2. The S TABILITYPC HECK step is crucial for Al-
(i)
ln w̃k ∝ ln g(yk , Σk ) > −∞. (33) gorithm 1 stability as the i wi may fall below machine
epsilon due to a small overlap between the marginal prior
Hence, Conditions 1, 2 together with [18, Theorem 7] and marginal likelihood. At the expense of a delayed non-
ensure that the marginal likelihood given by (17) will linear state estimate, MC PREDICTION WITH VB-AKF
step in Algorithm 1 does prior editing using noise- Variance estimation results.
adaptation (see, the discussion about prior editing in [24]), 12 Est.
12
Est.
True
True
and increases the overlap at t + 1. 10
10
8
8
IV. Signal Processing Application
6
6
As a test case, the fully mixing state-space model from
[25] is used. The nonlinear state is given as 4 4
uk+1 = arctan(uk ) + 1 0 0 xk + qku ,

(36) 2 2
| {z } | {z }
gk (uk ) Bk (uk )
100 200 300 400 100 200 300 400
Time step - t Time step - t
with the linear part of the problem defined as
  Fig. 1. Variance estimation by the MCVB filter (Nu = 1000 case).
1 0.3 0
xk+1 = 0 0.92 −0.3 xk + qkx . (37) MCVB RBPF
0 0.3 0.92 Nu
MRMSE (34) Fails RBPF (34) Fails
| {z } 100 0.3324 2 0.4446 33
Ak (uk )
200 0.3299 1 0.4456 19
Finally, the measurement model is of the form 500 0.3270 0 0.4493 11
1000 0.3185 1 0.4562 16
0.2u2k sgn(uk ) 0 0 0 2000 0.3198 2 0.4607 11
yk = + x + rk (38)
0 1 −1 1 k TABLE I
| {z } | {z }
hk (uk ) Hk (uk ) Important 100 MC simulation results.
with
qk ∼ N (0, Qk = 0.01I4 ) 1) A lower MRMSE value was obtained for MCVB
σ12 , σ22 ) whenever Nu is increased.

rk ∼ N (0, Σk = diag
T 2) Algorithm 1 recovered at t+1 when (34) condition
u0 ∼ N (0, 1) with x0 = 0 0 0 . failed at t in the same simulation run.
For 100 Monte Carlo (MC) simulations, we compare 3) RBPF became unstable whenever (34) failed. Fur-
the performance of the MCVB filter with RBPF over thermore, any Σk ≤ I2 resulted in the frequent
400 time steps. For the MCVB filter, the initial noise loss of MC updates. Besides, setting high Nu for
variances σ0,i ∼ Inv-Γ(1, 1) for i = 1, 2 were set with RBPF did not improve results.
variance decreasing factors {ρ1 , ρ2 } = {0.94, 0.90}. Note 4) The stability of the MCVB filter vs. RBPF can be
that, a general requirement in [7] is that the correspond- noticed
P from Fig. 2, which presents the evolution
ing states and the measurement parts are conditionally of i wi for one particular simulation. The MCVB
Gaussian. In this experiment, e.g., we can decompose the
measurement vector such that σ12 corresponds to latent Evolution of Sum of Weights
variables whereas σ22 corresponds to linear states, and use 450
measurements corresponding to σ22 in (23). For the RBPF 400
35
setup, we used a fixed Σk = I2 . The marginal dynamics 350

30
were obtained from (36) for both cases. Stratified sam- 300 25
pling is used for resampling at each time instant. The 250 20

maximum number of fixed-point VB-iterations was set to 200
15
three. Also, we select NΣ = 1 for realizing the marginal 150
10
likelihood illustrated by (17). 100
5
For testing the algorithm, a possibly worst-case sce- 50
nario is considered where the measurement noise parame- 100 200 300 400 100 200 300 400
ters change abruptly as illustrated in Fig. 1. The estimated Time step - t Time step - t
variances by the sequential MCVB method are shown in Fig. 2. Weight computation by both filters for Nu = 100 case.
Fig. 1 for one particular MC run. The root-mean-squared
error (RMSE) being the performance measure (as defined
P
automatically adjusts weights, however, the i wi
in [26]) over 100 MC simulations for various Nu values computed by the RBPF does not exceed 40.
are noted in Table I. 5) The maximum number of VB-iterations lmax = 2
was selected following [4], and stored for one
particular simulation considering Nu = 1000
A. Discussion
case.l = lmax condition was satisfied for only
The important points to discuss are stated as follows: 11.4% of the total simulation time. Furthermore,
it was observed that permitting lmax > 2 did not Estimated Path Heading -- (°)
improve the filtering outcomes significantly. 100
3 4 56 150
90 2 7
100
80
V. Robot Tracking Application 8
y-position (cm)
70 50
In this section, we focus on implementing the pro- 60 1 0

posed filtering mechanism for a robot tracking problem. 50
-50
40 9
-100
30
A. Experiment Setup 15 10-150
A portion of the test setup is shown in Fig. 3, which
20
1413 12 11
20 40 60 80 100 0 200 400
constitutes a six-wheeled car-like (DiddyBorg V2) robot, x-position (cm) Time (sec)
a fixed semi-elliptical path, and a boundary with 35
Fig. 4. State estimation results using the reference model.
distinct QR codes pasted on it. The low-level motor
control mechanism controls the robot’s motion using IR-
based line tracking and differential braking. The speed where T = 0.05 seconds is the time period of the
command Vk to the motor is issued at 20 Hz. The prediction step, qk ∼ N (0, Qk ) with Qk = 10−6 I3 , Vk is
microcontroller on-board records data from (3-axis) IMU the input velocity, Ωg is the input yaw rate, and bΩ is the
and gyroscopes at 20 Hz. Whereas, the on-board camera known bias in Ωg . The di and ϕi measurements from the
module generates a range and bearing measurement for camera sensor are used. The reference trajectory (η, ζ ) and
each visualized QR code at 2 Hz. The measured range di heading ψ obtained from EKF are shown in Fig. 4 where
Σ = diag(0.01, 0.05). The 15 reference points (with ± 5
cm error) are also marked as colored diamonds beside the
estimated path. In the experiment, the vehicle waits for the
camera module to get ready till t0 = 195 seconds. Then,
it completes 5 loops in a counter-clockwise direction. The
red and green solid dots in Fig. 4 represent the start and
end positions respectively. The outputs and inputs from
this model will be used as true values later.
C. Dynamic Model Selection for Tracking

The differential equations describing the system dy-
namics are chosen to be the augmented (nearly) coor-
Fig. 3. The experiment setup depicting the robot and QR codes. dinated turn (ACT) model [29, pp.467]. However, we
further augment the turn rate dynamics to the ACT model.
is computed as The turn rate dynamics are modeled as
q
Ω̇(t) = −κΩ(t) + ṽ(t) (42)
di = (sηi − η)2 + (sζi − ζ)2 (39)
2
with bearing driven by white noise given with variance qΩ̇ = 2κσm
! yielding the Ornstein-Uhlenbeck process described by
−1 sζi − ζ [29, pp.321,(8.2.2-1)]. Hence, the discrete-time system
ϕi = tan − ψ. (40)
sηi − η model with sampling time T is given as
where {sxi , syi } is the known position of ith QR code in zk = Φk−1 zk−1 + Λk−1 wk−1 , (43)
the global frame of reference. We will use (η, ζ ) to denote where the state transition matrix Φ is written as
the Cartesian (x, y )-position of the robot with ψ being the  sin(Ωk−1 T ) 1−cos(Ωk−1 T )

heading angle. Then, the objective is to track the position 1 0 Ωk−1 − Ωk−1 0 0
0 1 1−cos(Ω k−1 T ) sin(Ωk−1 T )
 
of the robot using range and bearing information obtained Ωk−1 Ωk−1 0 0 
from the camera module.
 
0 0 cos(Ωk−1 T ) − sin(Ωk−1 T ) 0 0 
 
0 0 sin(Ωk−1 T ) cos(Ωk−1 T ) 0 0 
 1−exp(−κT )

0 0 0 0 1
B. Reference Model

κ
0 0 0 0 0 exp(−κT )
The reference model used here is a quasi-constant turn
(QCT) model [27], [28] given as and Λ is the noise gain matrix. The state vector defined as
      z = {η, ζ, vη , vζ , ψ, Ω} contains 2D positions (η and ζ ),
ηk ηk−1 Vk−1 cos(ψk−1 ) Cartesian velocities (vη and vζ ), heading angle (ψ ), and
 ζk  =  ζk−1  + T  Vk−1 sin(ψk−1 )  + qk−1 , (41)
turn rate (Ω). Moreover, w = {aη , aζ , Ω̇} is the zero-mean
ψk ψk−1 Ωgk−1 − bΩ white noise sequence.
Thus, we have v̇η , v̇ζ , and Ω̇ being driven by white with the state covariance matrix highlighted in (7) has
noise sequences with variances qaη , qaζ , and qΩ̇ . One components
√ √
T qaη T 4 qaζ
4
option for qaη , qaζ is Ma , where Ma is the maxi-

u
mum linear acceleration in x, y directions [30]. Here, we Q = diag , , qΩ̇
4 4
approximate Ma = 2.5 m/s2 . We have qΩ̇ = 2κσm 2
from
Qx = diag T 2 qaη , T 2 qaζ , T 2 qΩ̇

[29, pp.321], where we assume 1/κ = 6.3 as time for
the robot to travel from, e.g., 1st to 4th reference during with cross-covariance (symmetric) matrices given as
cornering, and using [29, (8.2.2-2)] we have T qaη T 3 qaζ
3
Qux = diag , , T qΩ̇ = Qux .
2 Ω̇2m 2 2
σm = (1 + 4pm − p0 ) . (44)
3 Finally, in our experiment, we consider that each land-
Here, we select pm = p0 = 0.5 and Ω̇m = 30◦ /s2 , where mark (a QR code) contributes a distinct covariance matrix
Ω̇m is the maximum rotational acceleration that the robot to the measurement model. Thus, Σk contains the variance
can experience. Notice that, −κ is the largest eigenvalue parameters of 35 QR codes. Hence, the matrices in (1b)
of the state transition matrix Φk−1 . Thus, utilizing the for the ith QR code are given as
q 
T /κ ≈ 0.00794 ≪ 1/2 criterion suggested in [29, (8.2.3- (sηi − η)2 + (sζi − ζ)2
11)], we assume a diagonal state covariance matrix Q. hki (uk ) ≜  ζ
s −ζ
 (50)
tan−1 sηi −η
i
D. Model formulation for MCVB Filter 0 0 0
Hki (uk ) ≜ . (51)
0 0 −1
The ACT model described above becomes linear once
the turn rate Ωk is known [28]. This crucial observation This completes the formulation of the ACT model as a
led to the selection of the turn rate as a nonlinear fully mixing state-space model for the MCVB filter and
(latent) state variable in our model formulation. Thus, RBPF implementation.
the nonlinear part in (1a) is uk = {ηk , ζk , Ωk }, and the
conditionally linear portion is xk = {vηk , vζk , ψk , Σk }. E. Results
Thus, we factorize the joint posterior PDF for the ACT
model as Estimated Path Ground Speed
p(η0:k , ζ0:k , vηk , vζk , ψk , Ω0:k , Σk |y1:k ) = 100

3 4 56 0.05
p(vη , vζ , ψk , Σk |y1:k , η0:k , ζ0:k , Ω0:k ) × 2 7

| k k 80 0.04
8
y-position (cm)
{z }
Linear: VB-AKF
p(η0:k , ζ0:k , Ω0:k |y1:k ) . (45) 60 1 0.03
| {z }
Latent: PF
40 9 0.02
The position variables are part of uk because the measure-

ment model is nonlinear in η and ζ . Thus for the MCVB 15 10 0.01 V (m/s)
20
1413 1211
filter, the non-linear function matrices in (1a) are given 0
20 40 60 80 100 0 200 400
as x-position (cm) Time (sec)
 
ηk−1 Fig. 5. Estimated trajectory and ground speed are shown.
gk−1 (uk−1 ) ≜  ζk−1 , (46)
exp(−κT )Ωk−1
 
0 1 4 14 20
fk−1 (uk−1 ) ≜  0 . (47)
1−exp(−κT ) 0.04 0.04
κ Ω k−1
(t)
(t)
The system matrices in (1a) are given as

2
d
 sin(Ω T )  0.02 0.02

1−cos(Ωk−1 T )
k−1
Ωk−1 − Ωk−1 0
Bk−1 (uk−1 ) ≜  1−cos(Ωk−1 T ) sin(Ωk−1 T )
0 ,
 
Ωk−1 Ωk−1 0 0
0 0 0 0 500 0 500
(48) Time (sec) Time (sec)
and Fig. 6. Variance estimation by MCVB for mentioned QR codes.
 
cos(Ωk−1 T ) − sin(Ωk−1 T ) 0
Ak−1 (uk−1 ) ≜  sin(Ωk−1 T ) cos(Ωk−1 T ) 0 We select Nu = 200, NΣ = 1 sample from Inv-
0 0 1 Γ distribution (at MC update step), and {ρd , ρϕ } =
(49) {0.98, 0.98}. Furthermore, we consider the 35 bearing ϕi
measurements, corresponding to 35 QR-codes, in (23) at X-position ( ) estimation results.

the VB update step. As a result, the estimated path (η as E R M T
x-position (cm)
1.5
x-position versus ζ as (y-position) using MCVB filter is
shownqin Fig. 5. The convergence of the ground speed 1
V = vη2 + vζ2 to the applied motor speed Vk = 0.05 m/s
occurs after the robot starts maneuvering. Such behavior 0.5
is expected as no information about Vk is available for 0
robot tracking. The noise variance estimation results by 200 220 240 260 280 300 320
MCVB are also shown in Fig. 6. The variances corre- Time (sec)
sponding to more frequently observed QR codes, e.g., X-position ( ) estimation errors.
absolute error (cm)

14th and 20th, converged faster as compared to less E R M
0.2
frequently observed QR codes, e.g., 1st and 4th.
0.1
0
F. Discussion
-0.1
Further, we implemented EKF and RBPF for robot
tracking using (43). In Section C, we specified Ma = 200 220 240 260 280 300 320
2.5 m/s2 for the MCVB case; we can do the same for Time (sec)
RBPF. However, to obtain stable results using EKF, we
Fig. 8. Estimation of η using (E)KF, (R)BPF, and (M)CVB vs.
used Ma = 0.1 m/s2 . From Fig. 6, we select σd2 = 0.01
(T)rue.
and σϕ2 = 0.05 for both (EKF and RBPF) cases. This
significantly reduced efforts to get a minimum possible
MRMSE (of about 10 cm) for both cases. The following Heading ( ) estimation results.
aspects of the robot tracking experiment demonstrate how
E R M
heading (deg)
well the MCVB filter performs in comparison to EKF and 200
RBPF: 100
1) The estimated trajectory by EKF and RBPF filters 0

are shown in Fig. 7. -100
EKF RBPF 200 220 240 260 280 300 320

120 Time (sec)
100 4 56
100
3 4 567 Heading ( ) estimation errors.
23 7 2
y-position (cm)
y-position (cm)
80 80 200
8
error (deg)
8
60 1 60 1 0
40 9 40 9 -200
20 15 10
1413 1211 15
E R M
20 10
1413 1211 200 220 240 260 280 300 320
0 Time (sec)
0 50 100 20 60 100
x-position (cm) x-position (cm)
Fig. 9. Estimation of ψ by (E)KF, (R)BPF, and (M)CVB vs. (T)rue.
Fig. 7. Trajectory estimation by EKF (left) and RBPF (right).
2) The estimation of η by each filter is shown in graph at 310 sec is due to camera misreading–
Fig. 8 Note that, once the estimated speed gets outlying measurements–during cornering. This has
to the true value, the η estimated by MCVB been a known issue with the camera module. How-
and RBPF gets closer to the true value. The η ever, as soon as a valid measurement is available,
estimation errors plot also highlights this phe- MCVB corrects ψ faster than RBPF (green) and
nomenon, where the absolute error by MCVB EKF (blue).
becomes smaller over time. 4) The Ω dynamics estimated by each filter during a
3) The heading (ψ ) estimation by each case is shown specific cornering scenario are shown in Fig. 10.
in Fig. 9. Notice that, during the turn at about For example, corresponding to Ωg = −15◦ /s at
305 seconds, the MCVB filter estimates the fast 311.957 sec, the MCVB read Ω = −11◦ /s at 312.3
transients particularly well, which can be observed sec, RBPF read Ω = −10◦ /s at 312.9 sec, and
by lower values in the ψ estimation error graph EKF estimated Ω = −30◦ /s at 312.8 sec. It is the
shown in red. However, the sharp dip in the red case that the (mean) error in turn rate estimation
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simultaneously estimating unknown noise variances with

BADAR ET AL.: MCVB Filter for Target Tracking. 3

−,(i) the importance distribution, we have the (so-called) Rao–

Further, we draw NΣ ∈ Z+ independent random samples simplification, we get

BADAR ET AL.: MCVB Filter for Target Tracking. 5

uk+1 = arctan(uk ) + 1 0 0 xk + qku ,

setup, we used a fixed Σk = I2 . The marginal dynamics 350

pling is used for resampling at each time instant. The 250 20

In this section, we focus on implementing the pro- 60 1 0

C. Dynamic Model Selection for Tracking

BADAR ET AL.: MCVB Filter for Target Tracking. 7

p(η0:k , ζ0:k , vηk , vζk , ψk , Ω0:k , Σk |y1:k ) = 100

p(vη , vζ , ψk , Σk |y1:k , η0:k , ζ0:k , Ω0:k ) × 2 7

The position variables are part of uk because the measure-

The system matrices in (1a) are given as

 sin(Ω T )  0.02 0.02

measurements, corresponding to 35 QR-codes, in (23) at X-position ( ) estimation results.

absolute error (cm)

1) The estimated trajectory by EKF and RBPF filters 0

EKF RBPF 200 220 240 260 280 300 320

BADAR ET AL.: MCVB Filter for Target Tracking. 9

Marginalized particle filters for Bayesian estimation of Gaussian

Processing (IEEE Cat. No.03TH8718), 2003, pp. 229–238.

Statistics Conference Proceedings, Presentations and Posters.

BADAR ET AL.: MCVB Filter for Target Tracking. 11

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