On Solving Continuous-Discrete Projection Filters via Sum-of-Squares Relaxation

Abstract: The continuous-discrete projection filter offers a rigorous framework to approximate the solution of the nonlinear state estimation problems. However, it suffers from numerical instability during the prediction phase when integration errors force the natural parameters outside their admissible domain. To address this issue, we introduce the sum-of-squares (SOS) relaxation to constrain the evolution of the natural parameters within the admissible domain. By parameterizing the underlying SOS matrix using the log-Cholesky map, we derive a projected ordinary differential equation (ODE) that inherently preserves the necessary positivity constraints without requiring the computationally expensive online optimization checks associated with previous semi-infinite programming approach. We provide a theoretical derivation of this positivity-preserving propagation scheme and present the explicit SOS-relaxed evolution equations for the Gaussian case.