Weighted Information Filtering, Smoothing, and Out-of-Sequence Measurement Processing

Abstract: We consider the problem of state estimation in dynamical systems and propose a different mechanism for handling unmodeled system uncertainties. Instead of injecting random process noise, we assign different weights to measurements so that more recent measurements are assigned more weight. A specific choice of exponentially decaying weight function results in an algorithm with essentially the same recursive structure as the Kalman filter. It differs, however, in the manner in which old and new data are combined. While in the classical KF, the uncertainty associated with the previous estimate is inflated by adding the process noise covariance, in the present case, the uncertainty inflation is done by multiplying the previous covariance matrix by an exponential factor. This difference allows us to solve a larger variety of problems using essentially the same algorithm. We thus propose a unified and optimal, in the least-squares sense, method for filtering, prediction, smoothing and general out-of-sequence updates. All of these tasks require different Kalman-like algorithms when addressed in the classical manner.