Kalman Filtering with Gaussian Processes Measurement Noise

Abstract: Real-world measurement noise in applications like robotics is often correlated in time, but we typically assume i.i.d. Gaussian noise for filtering. We propose general Gaussian Processes as a non-parametric model for correlated measurement noise that is flexible enough to accurately reflect correlation in time, yet simple enough to enable efficient computation. We show that this model accurately reflects the measurement noise resulting from vision-based Simultaneous Localization and Mapping (SLAM), and argue that it provides a flexible means of modeling measurement noise for a wide variety of sensor systems and perception algorithms. We then extend existing results for Kalman filtering with autoregressive processes to more general Gaussian Processes, and demonstrate the improved performance of our approach.