An optimization approach to adaptive Kalman filtering

In this paper, an optimization-based adaptive Kalman filtering method is proposed. The method produces an estimate of the process noise covariance matrix QQ by solving an optimization problem over a short window of data. The algorithm recovers the observations h(x)h(x) from a system ẋ=f(x),y=h(x)+v without a priori knowledge of system dynamics. Potential applications include target tracking using a network of nonlinear sensors, servoing, mapping, and localization. The algorithm is demonstrated in simulations on a tracking example for a target with coupled and nonlinear kinematics. Simulations indicate superiority over a standard MMAE algorithm for a large class of systems.