Tensor Train Discrete Grid-Based Filters: Breaking the Curse of Dimensionality

This paper deals with the state estimation of stochastic systems and examines the possible employment of tensor decompositions in grid-based filtering routines, in particular, the tensor-train decomposition. The aim is to show that these techniques can lead to a massive reduction in both the computational and storage complexity of grid-based filtering algorithms without considerable tradeoffs in accuracy. This claim is supported by an algorithm descriptions and numerical illustrations.

Design of Efficient Point-Mass Filter with Application in Terrain Aided Navigation

This paper deals with state estimation of stochastic models with linear state dynamics, continuous or discrete in time. The emphasis is laid on a numerical solution to the state prediction by the time-update step of the grid-point-based point-mass filter (PMF), which is the most computationally demanding part of the PMF algorithm. A novel efficient PMF (ePMF) estimator is proposed, designed, and discussed. By numerical illustrations, it is shown, that the proposed ePMF can lead to a time complexity reduction that exceeds 99.9% without compromising accuracy. The MATLAB code of the ePMF is released with this paper.