stat.MLMar 13, 2026

Robust Automatic Differentiation of Square-Root Kalman Filters via Gramian Differentials

Authors: Adrien Corenflos

Organizations: Department of Statistics, University of Warwick, Coventry, UK

Abstract

Square-root Kalman filters propagate state covariances in Cholesky-factor form for numerical stability, and are a natural target for gradient-based parameter learning in state-space models. Their core operation, triangularization of a matrix M∈Rn×mM \in \mathbb{R}^{n \times m}, is computed via a QR decomposition in practice, but naively differentiating through it causes two problems: the semi-orthogonal factor is non-unique when m>nm > n, yielding undefined gradients; and the standard Jacobian formula involves inverses, which diverges when MM is rank-deficient. Both are resolved by the observation that all filter outputs relevant to learning depend on the input matrix only through the Gramian MM⊤MM^\top, so the composite loss is smooth in MM even where the triangularization is not. We derive a closed-form chain-rule directly from the differential of this Gramian identity, prove it exact for the Kalman log-marginal likelihood and filtered moments, and extend it to rank-deficient inputs via a two-component decomposition: a column-space term based on the Moore--Penrose pseudoinverse, and a null-space correction for perturbations outside the column space of MM.

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