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The kernel Kalman rule
Machine Learning ( IF 2.809 ) Pub Date : 2019-06-18 , DOI: 10.1007/s10994-019-05816-z
Gregor H. W. Gebhardt, Andras Kupcsik, Gerhard Neumann

Abstract Enabling robots to act in unstructured and unknown environments requires versatile state estimation techniques. While traditional state estimation methods require known models and make strong assumptions about the dynamics, such versatile techniques should be able to deal with high dimensional observations and non-linear, unknown system dynamics. The recent framework for nonparametric inference allows to perform inference on arbitrary probability distributions. High-dimensional embeddings of distributions into reproducing kernel Hilbert spaces are manipulated by kernelized inference rules, most prominently the kernel Bayes’ rule (KBR). However, the computational demands of the KBR do not scale with the number of samples. In this paper, we present two techniques to increase the computational efficiency of non-parametric inference. First, the kernel Kalman rule (KKR) is presented as an approximate alternative to the KBR that estimates the embedding of the state based on a recursive least squares objective. Based on the KKR we present the kernel Kalman filter (KKF) that updates an embedding of the belief state and learns the system and observation models from data. We further derive the kernel forward backward smoother (KFBS) based on a forward and backward KKF and a smoothing update in Hilbert space. Second, we present the subspace conditional embedding operator as a sparsification technique that still leverages from the full data set. We apply this sparsification to the KKR and derive the corresponding sparse KKF and KFBS algorithms. We show on nonlinear state estimation tasks that our approaches provide a significantly improved estimation accuracy while the computational demands are considerably decreased.
更新日期:2020-01-04

 

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