Wenhan Cao

Wenhan Cao, Tianyi Zhang, Zeju Sun et al.

Practical Bayes filters often assume the state distribution of each time step to be Gaussian for computational tractability, resulting in the so-called Gaussian filters. When facing nonlinear systems, Gaussian filters such as extended Kalman filter (EKF) or unscented Kalman filter (UKF) typically rely on certain linearization techniques, which can introduce large estimation errors. To address this issue, this paper reconstructs the prediction and update steps of Gaussian filtering as solutions to two distinct optimization problems, whose optimal conditions are found to have analytical forms from Stein's lemma. It is observed that the stationary point for the prediction step requires calculating the first two moments of the prior distribution, which is equivalent to that step in existing moment-matching filters. In the update step, instead of linearizing the model to approximate the stationary points, we propose an iterative approach to directly minimize the update step's objective to avoid linearization errors. For the purpose of performing the steepest descent on the Gaussian manifold, we derive its natural gradient that leverages Fisher information matrix to adjust the gradient direction, accounting for the curvature of the parameter space. Combining this update step with moment matching in the prediction step, we introduce a new iterative filter for nonlinear systems called \textit{N}atural Gr\textit{a}dient Gaussia\textit{n} Appr\textit{o}ximation filter, or NANO filter for short. We prove that NANO filter locally converges to the optimal Gaussian approximation at each time step. Furthermore, the estimation error is proven exponentially bounded for nearly linear measurement equation and low noise levels through constructing a supermartingale-like property across consecutive time steps.

Jingliang Duan, Wenhan Cao, Yang Zheng et al.

The convergence of policy gradient algorithms in reinforcement learning hinges on the optimization landscape of the underlying optimal control problem. Theoretical insights into these algorithms can often be acquired from analyzing those of linear quadratic control. However, most of the existing literature only considers the optimization landscape for static full-state or output feedback policies (controllers). We investigate the more challenging case of dynamic output-feedback policies for linear quadratic regulation (abbreviated as dLQR), which is prevalent in practice but has a rather complicated optimization landscape. We first show how the dLQR cost varies with the coordinate transformation of the dynamic controller and then derive the optimal transformation for a given observable stabilizing controller. At the core of our results is the uniqueness of the stationary point of dLQR when it is observable, which is in a concise form of an observer-based controller with the optimal similarity transformation. These results shed light on designing efficient algorithms for general decision-making problems with partially observed information.

Shiqi Liu, Wenhan Cao, Chang Liu et al.

Multi-object tracking (MOT) is an essential technique for navigation in autonomous driving. In tracking-by-detection systems, biases, false positives, and misses, which are referred to as outliers, are inevitable due to complex traffic scenarios. Recent tracking methods are based on filtering algorithms that overlook these outliers, leading to reduced tracking accuracy or even loss of the objects trajectory. To handle this challenge, we adopt a probabilistic perspective, regarding the generation of outliers as misspecification between the actual distribution of measurement data and the nominal measurement model used for filtering. We further demonstrate that, by designing a convolutional operation, we can mitigate this misspecification. Incorporating this operation into the widely used unscented Kalman filter (UKF) in commonly adopted tracking algorithms, we derive a variant of the UKF that is robust to outliers, called the convolutional UKF (ConvUKF). We show that ConvUKF maintains the Gaussian conjugate property, thus allowing for real-time tracking. We also prove that ConvUKF has a bounded tracking error in the presence of outliers, which implies robust stability. The experimental results on the KITTI and nuScenes datasets show improved accuracy compared to representative baseline algorithms for MOT tasks.