arXiv subjects

Zeju Sun

Publications and source records attributed to Zeju Sun.

4 recordsLinked to original sources

arXiv2026

Well-posedness of Filtering Equations in Weighted Sobolev Spaces with Unbounded System Coefficients

Nonlinear filtering problem is one of the core subjects in modern control theory. In this paper, we will study the well-posedness of the three fundamental evolution equations arising in continuous-time nonlinear filtering--the robust Duncan-Mortensen-Zakai (DMZ) equation, the stochastic DMZ equation, and the Kushner-Stratonovich equation--within a unified buffered weighted formulation. An exponential-type weight function and the corresponding weighted Sobolev spaces are introduced to enable a variational treatment of the filtering equations in a more general setting, in which the coefficients of the filtering system may be unbounded with polynomial growth. Under mild and easily verifiable assumptions, we first establish the well-posedness of the weak solution to the robust DMZ equation in these weighted spaces. Using the gauge (exponential) transformation and its inverse, these results are then transferred to the stochastic DMZ equation and the Kushner-Stratonovich equation, whose solutions are shown to exist and be unique in buffered weighted Sobolev spaces, yielding a unified treatment of all three filtering equations. Sufficient conditions for the well-posedness are also summarized, which illustrate the wide applicability of the proposed framework to general nonlinear filtering systems.

math.OC↗

arXiv2026

Natural Gradient Bayesian Filtering: Geometry-Aware Filter for Dynamical Systems

Bayesian filtering is a cornerstone of state estimation in complex systems such as aerospace systems, yet exact solutions are available only for linear Gaussian models. In practice,nonlinear systems are handled through tractable approximations,with Gaussian filters such as the extended and unscented Kalman filters being among the most widely used methods. This tutorial revisits Gaussian filtering from an information-geometric perspective, viewing the prediction and measurement update steps as inference procedures over state distributions. Within this framework, we introduce a geometry-aware Gaussian filtering approach that leverages natural gradient descent on the statistical manifold of Gaussian distributions. The resulting Natural Gradient Gaussian Approximation (NANO) filter iteratively refines the posterior mean and covariance while respecting the intrinsic geometry of the Gaussian family and preserving the positive definiteness of the covariance matrix. We further highlight fundamental connections to the classical Kalman filtering, showing that a single natural-gradient step exactly recovers the Kalman measurement update in the linear-Gaussian case. The practical implications of the proposed framework are illustrated through case studies in representative nonlinear estimation problems,including satellite attitude estimation, simultaneous localization and mapping, and state estimation for robotic systems including quadruped and humanoid robots.

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arXiv2024

Nonlinear Bayesian Filtering with Natural Gradient Gaussian Approximation

Practical Bayes filters often assume the state distribution of each time step to be Gaussian for computational tractability, resulting in the so-called Gaussian filters. When facing nonlinear systems, Gaussian filters such as extended Kalman filter (EKF) or unscented Kalman filter (UKF) typically rely on certain linearization techniques, which can introduce large estimation errors. To address this issue, this paper reconstructs the prediction and update steps of Gaussian filtering as solutions to two distinct optimization problems, whose optimal conditions are found to have analytical forms from Stein's lemma. It is observed that the stationary point for the prediction step requires calculating the first two moments of the prior distribution, which is equivalent to that step in existing moment-matching filters. In the update step, instead of linearizing the model to approximate the stationary points, we propose an iterative approach to directly minimize the update step's objective to avoid linearization errors. For the purpose of performing the steepest descent on the Gaussian manifold, we derive its natural gradient that leverages Fisher information matrix to adjust the gradient direction, accounting for the curvature of the parameter space. Combining this update step with moment matching in the prediction step, we introduce a new iterative filter for nonlinear systems called \textit{N}atural Gr\textit{a}dient Gaussia\textit{n} Appr\textit{o}ximation filter, or NANO filter for short. We prove that NANO filter locally converges to the optimal Gaussian approximation at each time step. Furthermore, the estimation error is proven exponentially bounded for nearly linear measurement equation and low noise levels through constructing a supermartingale-like property across consecutive time steps.

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arXiv2024

On the Convergence Analysis of Yau-Yau Nonlinear Filtering Algorithm: from a Probabilistic Perspective

At the beginning of this century, a real time solution of the nonlinear filtering problem without memory was proposed in [1, 2] by the third author and his collaborator, and it is later on referred to as Yau-Yau algorithm. During the last two decades, a great many nonlinear filtering algorithms have been put forward and studied based on this framework. In this paper, we will generalize the results in the original works and conduct a novel convergence analysis of Yau-Yau algorithm from a probabilistic perspective. Instead of considering a particular trajectory, we estimate the expectation of the approximation error, and show that commonly-used statistics of the conditional distribution (such as conditional mean and covariance matrix) can be accurately approximated with arbitrary precision by Yau-Yau algorithm, for general nonlinear filtering systems with very liberal assumptions. This novel probabilistic version of convergence analysis is more compatible with the development of modern stochastic control theory, and will provide a more valuable theoretical guidance for practical implementations of Yau-Yau algorithm.

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