Copyright to IFAC Nonlinear Control Systems Design,

Enschede, The Netherlands, 1998

NONLINEAR FILTERING USING PIECEWISE-GAUSSIAN

APPROXIMATION OF A POSTERIORI DENSfIY

Stepanov O.A.

State Research Center of Russia -

Central Scientific & Research Institute "Elektropribor"
30, Malaya Posadskaya Str., St. Pecersburg, 197046, Russia
Tel. (812) 232-59-15, Fax (812) 232-33-76, E-mail: elprib@erbi.spb.SU

Abstract. An algorithm using piecewise-Gaussian approximation of a posteriori

probability density function is proposed for special discrete-time nonlinear fIltering
problems. Copyright © 1998 IFAC

Keywords: nonlinear fIlter, discrete time, probability density function, optimal

estimation.

I. INTRODUCTION set of e for a discrete set of ej . In this case it is

Among the wide variety of non1inear fIltering
problems it is possible to single out the problem in
which dynamics equations of the n-dimensional
state vector Xi and/or measurement equations
are nonlinear only relative to the constant r-
dimensional subvector e (Lainiotis, 1976;
Maybeck, 1982; Kulbavy, 1992).
Some algorithms were earlier suggested to
solve this problem. The algorithms using the
partitioning method are most known among them
(Lainiotis, 1976). The main point of this
algorithm is separation of a discrete set for the
subvector e and representation of a posteriori
probability density function (PPDF) for the vector
Xi as a weighed sum of Gaussian densities
conditional to e. The parameters of these
conditional densities are sought through the use of
a bank of n-dimensional Kalman fIlters, each of
them corresponding to a fixed value of e The
values of weighting coefficients determined
through the use of the same KF are proportional
to a PPDF for the subvector e at the points ej .
The disadvantage of such algorithms is that
despite some peculiar methods used, the number
of KF must be great enough in order to provide
their efficiency (Maybeck, 1982). It is a
consequence of the substitution of a continuous
363
not possible to take into account the local
properties of the non1inear functions in the
vicinity of ej . This can be done by the Gaussian
sum algorithms based on poly-Gaussian
approximation of a PPDF for the state vector
Xi = (xT ,e)T (Alspach and Sorenson., 1971).
These algorithms also use the KF bank but the
dimension of the fIlters is equal to n + r. The
number of fIlters in the Gaussian sum algorithms,
as a rule, increases in time and it is a drawback of
such algorithms. Different methods are used to
eliminate this drawback. Thus, Gaussian
approximation of a PPDF was periodically
carried out in (Dmitriev and Shimilevich, 1979).
In (Yarlicov and Mironov, 1993), the number of
KF is fixed that is acceptable when the forcing
noises in the dynamics equations are small. It is
obvious that in the general case the efficiency of
such algorithms may decrease when these
methods are used.
There is another algorithm which can be used
to estimate a constant vector. It is the so called
reduced sufficient statistics fIlter (Anderson and
Itlis, 1996; Kulhavy, 1992). This algorithm
approximates the PPDF through the use of a
weighed sum of a fixed number of the basis
function (partial densities). It is essential that only
the weighting coefficients change in time while the
parameters of the partial densities do not change
(Anderson and Itlis, 1996). In order to achieve
«good» approximation it is necessary to increase boundaries if the integration domain is not
the number of partial densities. Such approach specify. Thus, the solution of the estimation
cannot take sufficient account of the local problem is reduced to determination of integrals
properties of nonlinear functions either. (1.4)-(1.7).
In this paper an algorithm based on piecewise-
Gaussian approximation of a posteriori density,
free of the drawbacks mentioned above, is applied 3. PIECEWISE-GAUSSIAN
to a particular case of the flltering problems APPROXIMATION OF A POSTERIORI
discussed here. DENSITY

Let us derive piecewise-Gaussian

2. STATEMENT OF THE PROBLEM approximation for a posteriori density
f(8,x; / Yj)which can be used to develop
Let us assume that the discrete-time flltering economical, from the viewpoint of computation,
problem of the vector Xj = (8 T ,xT)T described algorithms for determination of integrals (1.4) -
by equations (1.7). The expression for a posteriori density of the
8i =8; (l.l) vector (8 T ,xi?, in which Xj = (XJ. .. XJ)T is
written a s \.
Xi =<I>,xi-l + \jI,(8)+ Wi (1.2) f(O,xj /yj~~cf(O)f(xj /8)f(Yj /8,xj)
by the measurements (2.1)
where c is the normalization constant.
Yi =s,(8)+H,xi + Vi (1.3) Let us introduce the domain 0 of the most
is to be solved. probable values of 0 , i.e., the domain in which a
In expressions (l.l) - (1.3) 8, X;. are r- and n- priori density [(8) is substantially different from
dimensional vectors; \jI j (8) H s,(8) are nand m- zero. Now, subdivide 0 into M noncrossing
dimensional nonlinear functions; <I>j ,H j are the similar domains oj
known matrices of a corresponding dimension; w;. M
Vi are mutually independent zero-mean Gaussian Uoj =0 . (2.2)
noise sequences with known covariance matrices j=l
Qj and R j , respectively, which are all
The oj are chosen so that within each
independent of the initiial state Xo, namely subdomain it would be possible to provide the
f(Wj) = N(wj;O,Qj), f(vj) = N(Vj;O,Rj) , acceptable accuracy of the linearized description

E{WjV~} = O,E{WjxJ} = O,E{vjxJ} = 0. of the functions \jI j (8) and s,(8) in the following
form:
The vector xo is also assumed to be zero-mean \jIi(0)~\jIi(8{)+~{(8-8{); (2.3)
Gaussian, i.e. f(xo) = N(xo;O,Pt). From here
s,(8) ~ sj(8{) + Sf (0 - 8{) (2.4)
on N (0; li, A) is used as a notation for the where
density of the Gaussian vector a with the mean
li and covariance matrix A. Special consideration
must be given to the peculiar character of the
stated problem due to the fact that equations
(1.2), (1.3) are nonlinear only with respect to the
vector 8 while the dependency on Xi is linear.
Let us fmd the optimal (minimum variance)
Bayes estimates. These estimates and the
corresponding conditional covariance matrices of
their errors in the problem under consideration
are known to be defmed by the following relations with the elements
(Sage and Melse, 1972) :
representing the line number; t = L n - the column
Xj=JX;/(Xj/Y;)dx;, (l.4)

Sj = JOf(O / y;)d:l , (1.5) number; mxr matrix si. = 8s (8!) is defmed in a

j

~T
I

p;x J x;)(x - x;) f(x; /

= (x; - T y;)dxj ,(1.6)
similar way. The last two multipliers of expression
(2.1) may be represented as

p;e J(8-8 )(0-8;) f(8/y;)d:j,

= ~
j
~ T
(1.7)
M
f(xj /8)f(Yj /8,xj) =

where y; = (yl- .. yJ)T. = LY j(8)f j (Xj / 8)f j (y j / 8,x;) (2.5)

Hereinafter we assume the differentials to be j=l
the correspondent product of the vector
components, and the integrals to have infinite where

364
 8 eo/ fIlters (Sage and Melse, 1972) with due account of
8eQi" the form of matrices &( ,ii/ given in (2.12),

and Ij(xj 18), Ij(Yj 18,Xj) are the (2.13) and the form of matrices Q;, Po defmed as
densities corresponding to (1.2), (1.3) derived by
the use of (2.3), (2.4). Let us substitute expression
(2.5) into (2.1) and then multiply and divide each
Q=[O Q}Po =[~. ~1
summand by the coefficient c£ deflned as From expression (2.6) and the representation
j j j
c£ =lj(Yj)= H 1(8)/j(8,x;)/j(y;l8,x;)djdx j
I (Yj) = I (y; I Y;-I)l (yj I Yi-l)'" Ij (Yl)

(2.6) it follows that the recurrent relations

Then for 1(8,xj I Yj) the representation . . exp{-D,5(v{)T(15/)-l v f}
M cl = cl_ 1 m /2 - ' 1/2 (2.14)
1(8'Xi / Yi) = c ~> j(8'1:( 1 j (8, xi I Yi )(2.7) 21t IDII
j=1 where
in which vI =Yj -ii/x!/;_l -sj(8{)+S!8{;(2.15)
1;(8,Xi /Yj)= 1(8)/j(x; 1 8 ),.lj(Yj 1 8 ,Xj),
cl
15/ = ii/pl;_l(ii()T +Rj (2.16)
k
can be used for evaluation of c{
j = 1. M will hold true.
It is clear that these densities are Gaussian The normalization constant in (2.8) can be
densities as they correspond to the j-th linear defmed as
M
description of the functions 'V j (8) and si8) in the
form of (2.3), (2.4) with the Gaussian character of
/ = ffLY /8)c/ Nj(Xi;,tj,P;j)d)tttj (2.17)
j=1
the density 1(8). After integrating expression
j For integration in (2.17) let us represent
(2.7) with respect to Xj-l for I (8, x; I Y;) it is ·· Nj(-
dens111es x ; ·,x::'jp-j)
j ,; as
not difficult to derive
M
1(8,x; I Yj) = c; LY j(8'1:( N j (x; ;ij,p/) (2.8)
N j (Xj;i/ ,1'/) = 1 j (Xj I 8,y; )1 j (8 I Yj) (2.18)
j=1
where
where c; is the normalization constant, • • A ' 9 '
11 (8 I Yi) = N 1 (8;8f ,(Pj )1), (2.19)
Nj(xj;ij,p/) are the partial Gaussian c
densities corresponding to the j-th description of Ij(xj /8,Yj) = Nj(Xj;x( (8),[(l}X)jr )(2.20)
the functions 'V j(8) and si8) with are the Gaussian densities whose parameters are
easy to fmd by the following rules of
i j = (eT ,xT)T and determination of conditional Gaussian densities
_. [(P9)j (P9X)j] (Sage and Melse, 1972)
P/ = / / (2.9) x(8)=x( +(l}x9)j[(l}9)jrl(8-e{); (2.21)
/ (pr)jr (p/)j
The parameters of these partial densities can [(l~X)jrC = (P/)j _ (ljx9)j[(lj9)jr 1(lj9X)j
be found using the bank of KF for the n+r-
dimensional state vector Xj. The equations for (2.22)
Taking into account (2.18) and integrating in
those KF are detennined as [8]: (2.17) flrst with respect to Xi and then with respect
::'j -::'j K-j( H-j::'j (j . 8 j) to 8 it is not difficult to derive the following
Xj - x j / i _ 1 + j Yj - i x j / i _1 - si 8 j ) + si i
piecewise-Gaussian approximation for a
(2.10)
posteriori density
M
(2.11) I(x; I Y;) = L ~{(8)N j (X; ;i/ ,i/) (2.23)
where j=l

(p{ = [~j Orxn] (2.12)

in which III (8) are determined as
'Vi <l>j .
1l~(8)= ~j'
{j 8eO,l/
(2.24)
ii/=[s/ H;]. (2.13) / 0, 8eO,l/
The gain coefficients i / and the co variance where

matrices p/ are determined by the using ,,1

..-/
= C!!~ ciai
/ ~ / I'
(2.25)
standard covariance equations for the Kalman j=l

365
with cl evaluated in accordance with expression M
P/ = LJ.l{ {(l~X)i - (Pi»1)i[(p;9)ir1(Pi9X)i +
(2. 14), and al are found by the following i=l
expression + xl (X/>T + xl (b/)T [(Pi9 )ir1(p;9X)i +
al = f / i (8 / Yi)43 (2.26) + (p;xe)i(p;9)ir 1b/ (X/>T +
nj + (p;xe)i[(p;9)ir1J/ [(p;9)i](p;9X)i} - xixl.
Note that here the weighting coefficients J.l{ do (3.10)
not satisfy the nonnalization conditions, which is Hence we have derived a set of relations (2.14)
a consequence of the representation of the density - (2.17), (2.23) - (2.26), (3.3) - (3.10) which provide
as separate 'pieces' of partial densities. for evaluation of the parameters of piecewise-
Gaussian approximation of a posteriori density,
the corresponding estimates ei,Xi and the
4. ALGORITHM FOR CALCULATING
ESTIMATES AND COVARIANCE covariance matrices Ij9 , Ijx .
MATRICES The bank of n+r-dimensional KF (2.10), (2.11)
generated by th~ linearized description of the
Now let us fmd the expressions for the functions "'i(6),'Si~)in the fonn of (2.3), (2.4) is
estimates Xi = (8 T,XJ)T relying on the the basis of the algorithm. In this bank the partial
representation resulting from (2.23) fllters allow for the evaluation of the the partial
M estimates e{, xl and the co variance matrices p/
e = LfJ J.l{6Ni(Xi ; &/,~j)d3dxi '
j (3.1) which appeared in the relations brought above.
i=l The values v{ and the corresponding covariance

"II J.li Xi N
M
j ~j ,P;
- i
matrices jjl required in the determination of the
Xi - L.
A -
J. (Xi
- '. Xi )43dxi · (3.2)
i=l multiplier cl in expression (2.25) for the

Let us introduce the following notation: weighting coefficients J.l{ are also evaluated in
hI = f 8/ (6 / Yi )d3 ;
j (3.3) these ftlters according to f onnulas (2.15), (2.16).
nj
5. PECULIARITIES OF THE
d/ = f86T/i(8/Yi)43; (3.4) ALGORITHM
nj
It is very essential that in piecewise-Gaussian
"b/ = J(8 - e{)/ i (6 / Yi)d3 ; (3.5) approximation of a posteriori density proposed
n) the linearized representation of functions is only
used in bounded domains, with 6 E 0.1 . So
J/ = f (8 - e{)(8 - e{)T /j (8/ Yi)d3 (3.6) changing the size of these domains it is possible to
nj achieve a high accuracy in the description of a
posteriori density in each of them, and,
Taking into account expressions (2.18)-(2.22), consequently, the accuracy in the description of
(2.26), (3.3) - (3.6) and integrating in (3.1), (3.2)
the density for all the values 8 En as well. It is
with respect to Xi' and then to 8 it is not difficult
for the estimates to derive the following this circumstance that distinguishes this algorithm
expressions: from the algorithm in which a posteriori density is
M
approximated through the use of the relation
e = LJ.l{hl
i (3 .7)
M
/(Xi / Yi) = LJ.l{ (8)N i (Xi;&/ ,i'/) (4.1)
i=l
i=l
M similar to (2.23) but here the equation
= L(xlal + (p;9X)i[(p;X)ir 1b/) .(3.8)
Xi
i=l J.l{ = c( If cl
I i=l
The similar manipulations perfonned in is used to determine theweighting coefficients.
fmding co variance matrices p;9, p;x will result in Such approximation of a posteriori density can
be derived if, for example, the approximate
representation of a posteriori density is assumed
to have the fonn of
M
(3.9) /(8)=_1 L
Nj(e;e{,p9)
M J=
. 1

366
and in evaluating weighting coefficients each j-th
linearized description is assumed to be true over
the whole domain of probable values. But as it is
not true in reality, the algorithm resulting from
approximation (4.1) may introduce significant
errors even when n j is small (see condition (4.2)
below). Note that poly-Gaussian approximation
proposed in (yarlicov and Mironov. 1993) used
for flltering problems like (1.1) - (1.3) is reduced,
in fact, to approximation (4.1) and thus, the
algorithm resulting from it also has the drawback
pointed above.
In view of the bounded size of n j in which the
linearized description holds true it is necessary to
evaluate the integral for the bounded domains in
accordance with formulas (2.26), (3.3), (3.4). It is
not difficult to see that the vector li/ and
matrix (i/
are represented by of ,bf ,d/ and they
themselves are only introduced in order to make
the records of the resulting relations (3.8), (3.10)
simpler. Evaluation of the integrals like these
involves difficulties and finally makes the
algorithm for finding estimates and covariance
matrices more complicated. At the same time it is
necessary to emphasize the following points. As a
rule, in practice the problems under discussion
show high a posteriori accuracy in estimation of
the parameters q . If nf is taken to designate the
domain of the values of a posteriori density J(8/y j)
substantially different from zero, then starting
from a certain i* the following condition is usually
met:
nf EnD' i>i* (4.2)
where n D is the domain in which the
approximation of the form (2.3), (2.4) provides an
acceptable accuracy in representing the functions
'V; (8), Si (8). Dividing the a priori domain n so
that nj in (2.2) could satisfy the condition
n j ~ nD (4.3)
it is not difficult to understand that with i>i* a
posteriori density will practically be the same as
the Gaussian density generated by one of KF
whose weighting coefficients become dominant.
The number of this ruter designated by j*, the
expressions for the sought estimates and
covariance matrices with i>i* may be written as
~
8; 8r
~ ~ '. ,x;
~ ~ '.
~ xl ; P;e ::: (P;e )1'. , p; ~ P;1'. .
In this case it is clear that , in fact, the
problem is reduced to fixing the moment when the
weighting coefficients of one of the fIlters become
dominant and to location this fIlter so that it
could be used later. To realize this simplified
version of the algorithm it will suffice to evaluate
the values ~f represented according to (2.25) by
c{ and oj. For calculation oj it is also possible
to use approxime formulas of the type
where Vol(n j ) is the same for all n j size of
e
domains; j is a certain point belonging to nj.
In particular, the point e j may be, for example,
represented by the point
ej = arg m~ f j (8 / Yi)
eeo'
Here it is important to notice that inaccurate
evaluation of ~f at the present step by no means
affects the accuracy in determining the weighting
coefficients at the subsequent steps. In other
words, when going from one step of the
processing to another the errors are not
accumulated and that is undoubtedly an
advantage of this algorithm. The described
the simplified scheme of the realization of the
algorithm proves to be the most effective in the
cases when the density being multimodal at the
initial stages of estimation, changes to unirnodal
density,
Some notes should be made about the choice
of the points 8f , where the functions \If i (8) ,
Si (8) are to be linearized. One of the possibilities
is a fixed allocation of the points in each n j for
all i= I, 2.... For example, the centers of the
j
corresponding domains n may be chosen as 8! .
In another variant the values of the prediction of
8 generated in each partial ruter are taken as
e! as it is done in the extended KF (Sage and
Melse, 1972). As e is constant, the values of the
prediction will simply be the same as the partial
estimates e{_l. In spite of some definite
advantages of this choice of linearization points
due to the advantages of the extended KF in
comparison with the linearized KF, it suffers one
serious disadvantage, namely, in certain situations
all the estimates may come together in a single
partial domain. Thus, practically, the subsequent
steps will make use of a single linearization point,
in fact, a posteriori density will be replaced by its
Gaussian approximation. It is essential that that
may occur before the condition (4.2) is satisfied.
In its turn that may introduce significant
approximation errors. Taking into consideration
the above said it seems appropriate to use a
certain intermediate variant in choosing
linearization points. In this variant the estimates
generated in the partial ruters at the previous step
are assigned to be the linearization points if the
estimates themselves are not beyond the bounds
of nj. If this condition is not met linearization is
performed in a certain, close to the e{ point
belonging to the boundary of the domain n j .
The proposed algorithm based on piecewise-
Gaussian approximation can be used in practice
to solve various problems for which this model
proves to be acceptable. For example, it is good
for describing the problem of inertial system
alignment when the level of the course errors is
367
very high (Dmitriev, et al. 1997). This problem is
peculiar because of the linear character of the
equation for measuring (1.3) with nonlinearity
only in Eqs. (1.2). Models (1.1) - (1.3) are also
suitable for terrain aided navigation problem
(Hollowell , 1990; Hostetler, 1983; Shorsi and
Bar-Itzhack, 1995) when errors of a navigational
system or a trajectory of a vehicle are described by
quasidetenninistic sequences. Application of the
considered algorithms to the solution of this type
of problems turns out to be the most expedient
when, on the one hand, the function
'Vi(9),Si(9) in the domain of a priori uncertainty
is not highly variable and it is possible to restrict
ourselves to a small number of summands in
representation (2.30) and, on the other hand,
when one summand is not enough to provide the
effective work of the extendend KF.
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