pDANSE: Particle-based Data-driven Nonlinear State Estimation from Nonlinear Measurements
This addresses state estimation in systems with unknown dynamics and nonlinear measurements, which is incremental as it builds on prior DANSE work by extending it to nonlinear cases.
The paper tackles the problem of data-driven nonlinear state estimation for model-free processes with nonlinear measurements, proposing pDANSE, a particle-based method that uses an RNN to estimate state posteriors without intensive sampling. It demonstrates competitive performance against particle filters with full model knowledge on a Lorenz-63 system across four nonlinear measurement types.
We consider the problem of designing a data-driven nonlinear state estimation (DANSE) method that uses (noisy) nonlinear measurements of a process whose underlying state transition model (STM) is unknown. Such a process is referred to as a model-free process. A recurrent neural network (RNN) provides parameters of a Gaussian prior that characterize the state of the model-free process, using all previous measurements at a given time point. In the case of DANSE, the measurement system was linear, leading to a closed-form solution for the state posterior. However, the presence of a nonlinear measurement system renders a closed-form solution infeasible. Instead, the second-order statistics of the state posterior are computed using the nonlinear measurements observed at the time point. We address the nonlinear measurements using a reparameterization trick-based particle sampling approach, and estimate the second-order statistics of the state posterior. The proposed method is referred to as particle-based DANSE (pDANSE). The RNN of pDANSE uses sequential measurements efficiently and avoids the use of computationally intensive sequential Monte-Carlo (SMC) and/or ancestral sampling. We describe the semi-supervised learning method for pDANSE, which transitions to unsupervised learning in the absence of labeled data. Using a stochastic Lorenz-$63$ system as a benchmark process, we experimentally demonstrate the state estimation performance for four nonlinear measurement systems. We explore cubic nonlinearity and a camera-model nonlinearity where unsupervised learning is used; then we explore half-wave rectification nonlinearity and Cartesian-to-spherical nonlinearity where semi-supervised learning is used. The performance of state estimation is shown to be competitive vis-à-vis particle filters that have complete knowledge of the STM of the Lorenz-$63$ system.