On the relation between Gaussian process quadratures and sigma-point methods (1504.05994v1)

Abstract: This article is concerned with Gaussian process quadratures, which are numerical integration methods based on Gaussian process regression methods, and sigma-point methods, which are used in advanced non-linear Kalman filtering and smoothing algorithms. We show that many sigma-point methods can be interpreted as Gaussian quadrature based methods with suitably selected covariance functions. We show that this interpretation also extends to more general multivariate Gauss--Hermite integration methods and related spherical cubature rules. Additionally, we discuss different criteria for selecting the sigma-point locations: exactness for multivariate polynomials up to a given order, minimum average error, and quasi-random point sets. The performance of the different methods is tested in numerical experiments.