Denoising Particle Filters: Learning State Estimation with Single-Step Objectives

Sequential inference estimates latent states from noisy and incomplete observations. Particle Filters (PFs), a class of Monte Carlo methods based on importance sampling, provide a flexible framework for this task, but often suffer from poor sample efficiency and unfavorable scaling with dimension, partly due to suboptimal proposal distributions. We address these challenges by integrating learned proposals into the PF framework. We introduce Neural Optimal Particle Filters (NOPFs), which learn an amortized approximation to the optimal proposal from offline simulated one-step conditioning tuples. The learned proposal is used as a drop-in replacement in standard PF updates, with samples corrected by standard importance weights so that the method asymptotically targets the same filtering distribution under standard support and density-evaluation assumptions. Across stochastic nonlinear benchmarks of varying inference complexity, NOPFs improve sample efficiency and distributional accuracy over standard PF baselines with modest computational overhead. The approach integrates data-driven proposal learning into classical inference without altering the underlying filtering objective.

Model-based reinforcement learning in partially observable environments requires inferring hidden states, learning latent dynamics, and planning under the resulting belief. Practical algorithms often solve one aspect of the above pipeline while relying on approximations for the others that are often poorly understood, while existing POMDP theory typically analyzes computationally inefficient theoretical algorithms far from modern deep RL practice. To fill this gap, we propose a practical end-to-end algorithm that approximately solves the hidden state filtering problem via sequential Monte Carlo (SMC), updates a latent dynamics model online, and performs approximate online planning for $d$ steps before bootstrapping leaves with a state-value critic (a QMDP approximation). We analyze each approximation and prove an end-to-end regret bound decomposing the error into model estimation error, particle filter error, Monte Carlo rollout error, and a structural bias term induced by the QMDP approximation controllable by the planning depth that we further analyze in various special cases. The resulting guarantee makes explicit how statistical sample size, particle budget, rollout budget, and planning depth affect performance. We instantiate our algorithm in an MPC-based deep RL framework, demonstrating its practicality on a variety of environments. On a POMDP that satisfies our assumptions, each term of the bound decays at its predicted rate. Our results provide a practical and theoretically grounded route for bridging theory and practice within online decision-making in POMDPs.

Accurate state estimation for robotic systems evolving on Lie group manifolds, such as legged robots, is a prerequisite for achieving agile control. However, this task is challenged by nonlinear observation models defined on curved manifolds, where existing filters rely on local linearization in the tangent space to handle such nonlinearity, leading to accumulated estimation errors. To address this limitation, we reformulate manifold filtering as a parameter optimization problem over a Gaussian-distributed increment variable, thereby avoiding linearization. Under this formulation, the increment can be mapped to the Lie group through the exponential operator, where it acts multiplicatively on the prior estimate to yield the posterior state. We further propose a natural gradient optimization scheme for solving this problem, whose iteration process leverages the Fisher information matrix of the increment variable to account for the curvature of the tangent space. This results in an iterative algorithm named the Natural Gradient Gaussian Approximation on Lie Groups (NANO-L) filter. Leveraging the perturbation model in Lie derivative, we prove that for the invariant observation model widely adopted in robotic localization tasks, the covariance update in NANO-L admits an exact closed-form solution, eliminating the need for iterative updates thus improving computational efficiency. Hardware experiments on a Unitree GO2 legged robot operating across different terrains demonstrate that NANO-L achieves approximately 40% lower estimation error than commonly used filters at a comparable computational cost.