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arXiv 2401.03425eess.SYcs.SYmath.STstat.TH

参数化视角下单模李群上的不确定性传播与贝叶斯融合

Uncertainty Propagation and Bayesian Fusion on Unimodular Lie Groups from a Parametric Perspective

Jikai Ye, Gregory S. Chirikjian

AI总结:

本文研究单模李群上的不确定性传播与贝叶斯融合,通过Mckean-Gangolli注入将李群上的SDE转换为指数坐标参数化形式,推导出均值与协方差拟合及传播方程,并改进Kalman滤波器更新步骤以提升融合精度。

摘要:

我们解决了单模李群上的不确定性传播与贝叶斯融合问题。从通过Mckean-Gangolli注入在李群上定义的随机微分方程(SDE)出发,我们首先将其转换为指数坐标下的参数化SDE。针对Ito和Stratonovich对SDE的解释,分别阐述了用于该转换的系数变换方法。接着,我们推导了由指数坐标上的集中分布定义的李群概率分布的均值和协方差拟合公式。该公式用于推导由注入定义的SDE的均值和协方差传播方程,这与先前工作中从Fokker-Planck方程推导的结果一致。我们还利用该拟合公式对Kalman滤波器的更新步骤提出了简单修改,在适中的计算时间内提高了融合精度。

英文摘要:

We address the problem of uncertainty propagation and Bayesian fusion on unimodular Lie groups. Starting from a stochastic differential equation (SDE) defined on Lie groups via Mckean-Gangolli injection, we first convert it to a parametric SDE in exponential coordinates. The coefficient transform method for the conversion is stated for both Ito's and Stratonovich's interpretation of the SDE. Then we derive a mean and covariance fitting formula for probability distributions on Lie groups defined by a concentrated distribution on the exponential coordinate. It is used to derive the mean and covariance propagation equations for the SDE defined by injection, which coincides with the result derived from a Fokker-Planck equation in previous work. We also propose a simple modification to the update step of Kalman filters using the fitting formula, which improves the fusion accuracy with moderate computation time.

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