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arXiv · 2504.13502

Continuous-time filtering in Lie groups: estimation via the Fr{\'e}chet mean of solutions to stochastic differential equations

Magalie Bénéfice·Marc Arnaudon·Audrey Giremus
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Abstract

We compute the Fr\'echet mean $\mathscr{E}_t$ of the solution $X_{t}$ to a continuous-time stochastic differential equation in a Lie group. It provides an estimator with minimal variance of $X_{t}$. We use it in the context of Kalman filtering and more precisely to infer rotation matrices. In this paper, we focus on the prediction step between two consecutive observations. Compared to state-of-the-art approaches, our assumptions on the model are minimal.

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Magalie Bénéfice, Marc Arnaudon, Audrey Giremus. 2025-04-18. Continuous-time filtering in Lie groups: estimation via the Fr{\'e}chet mean of solutions to stochastic differential equations. https://arxiv.org/abs/2504.13502

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