Extended Kalman Filtering

This paper presents the iterative equivariant filter (IterEqF). The iterative extended Kalman filter (IterEKF) replaces the standard EKF correction step with an iterative correction step that is the Gauss-Newton solution to a nonlinear weighted least squares problem. The standard equivariant filter (EqF) exploits and respects the underlying symmetry of state estimation problems posed on homogeneous spaces and Lie groups. The motivation behind the IterEqF is to combine the features of both the IterEKF and the EqF, thus leading to a high-performance state estimation solution that is well suited to navigation problems. This paper derives the iteration procedure for the IterEqF update step and shows how the intrinsic nonlinearity of the approach naturally results in a `reset' of the filter's covariance into new coordinates. Monte-Carlo simulations of range-based localisation for a mobile robot demonstrate the improvement in performance relative to a standard EqF, especially during the transient convergence.

Reliable online autonomy is critical for quadrotor operation in urban airspaces, where global navigation satellite systems (GNSS) measurements suffer from multipath, blockage, and latency issues, introducing non-stationary, temporally correlated errors that degrade conventional GNSS-IMU fusion. This paper presents a belief-adaptive online autonomy framework that augments an extended Kalman filter (EKF) with explicit GNSS trust modelling, second-order online belief adaptation, and latency-aware out-of-sequence measurement handling. GNSS trust is represented as a latent belief state that modulates measurement weighting and multipath bias uncertainty, and is updated online using EKF consistency signals. Unlike reactive covariance tuning, the proposed approach enables proactive and stable sensor trust adaptation without prior environmental knowledge or offline training. Evaluation in simulated urban air mobility scenarios with correlated multipath, stochastic latency, and obstacle constraints demonstrates improved belief convergence, smoother trajectories, and reduced estimation and tracking errors compared to naive, adaptive, and first-order baselines. The framework preserves classical GNSS-IMU fusion structure and can be integrated directly into existing flight control pipelines, supporting robust online autonomy in GNSS degraded environments.

Robotic localization under changing sensing conditions can suffer from biased errors and miscalibrated covariances. We present WRAP, an adapter-agnostic Wasserstein-robust plug-in for nonlinear extended Kalman filter (EKF) and error-state Kalman filter (ESKF) stacks. A causal module supplies time-varying effective process and measurement statistics; a mean-preserving Wasserstein local update then computes least-favorable covariances and a robust gain without changing the propagation model, residual, or retraction. This separates mean adaptation from covariance robustification and uses distinct radii for propagation and sensing. On 18 UWB--IMU sequences held out from adapter training, adapter-only and WRAP reduce mean 3-D position RMSE by $19.8\%$ and $27.4\%$ relative to the nominal ESKF; an isotropic ablation reaches $19.5\%$, linking the incremental gain to directional process-covariance redistribution. An in-sample GNSS--INS study shows that mean adaptation provides most of the accuracy gain, while DR improves consistency and mitigates over-tightened classical covariance estimates. The robust solve takes 0.05 ms for UWB and 2.92 ms for GNSS on a Jetson Orin Nano.

LiDAR-inertial odometry (LIO) is a key component of autonomous navigation, but high-dynamic driving exposes two coupled challenges: intra-scan motion distortion and vibration-contaminated inertial measurements. Most real-time LiDAR-inertial pipelines propagate the system state by integrating raw IMU measurements and then use the propagated trajectory for point cloud de-distortion, thereby propagating inertial noise into both the corrected scan and the subsequent scan-to-map registration. This paper presents WNOJ-LIO, a LiDAR-IMU fusion framework based on a White-Noise-on-Jerk (WNOJ) Extended Kalman Filter (EKF). WNOJ-LIO employs a decoupled WNOJ prior on $\R^3 \times \SO(3)$ for state prediction and treats the IMU as a high-frequency measurement source rather than the driver of state propagation. The resulting posterior state history is then used for LiDAR scan de-distortion and subsequent point-to-plane LiDAR updates. The decoupled process model enables closed-form covariance propagation, thereby bridging the gap between batch WNOJ Gaussian process (GP) trajectory priors and recursive filtering. Simulation results demonstrate improvements in acceleration and angular-velocity denoising, scan de-distortion, and localization accuracy over a FAST-LIO-style baseline. Real-world experiments were conducted using an autonomous racing car on four driving segments with maximum speeds ranging from 53 to 208~km/h, covering a wide range of vehicle vibration levels. The experiments further validate the proposed method and provide a comprehensive evaluation of its performance in estimating acceleration, angular velocity, body-frame linear velocity, attitude, and position under highly dynamic driving. The source code of WNOJ-LIO is publicly available at https://github.com/LvJohny/wnoj-ekf-lio.git.

Underwater dead reckoning estimates vehicle position when vision is unavailable and external positioning cannot be assumed. A single set of filter parameters can work well in many situations, but fixed tuning may be poorly matched during turns, motion transitions, or periods when sensor measurements are less reliable. This paper presents the Situation-Triggered Calibrated Adaptive Robust Extended Kalman Filter for a BlueROV2. An onboard probabilistic trigger identifies the current motion situation while one error-state filter runs continuously. When the trigger is confident, the filter changes only to the corresponding pre-calibrated process- and measurement-noise matrices; the state estimate, covariance history, dynamics, and measurement models are not reset or replaced. The trigger, noise profiles, and a one-time Doppler velocity log yaw-alignment correction are calibrated offline using sparse AprilTag-supervised pool runs. A separate validation set selects the scheduling policy, which is then fixed before held-out testing. Across four held-out pool runs, the method reduces label-weighted mean per-run translation root-mean-square error from 0.488 m to 0.471 m relative to the same filter backbone with one global noise profile, and every held-out run favors the scheduled method. A paired bootstrap over 10-second segments gives a candidate-minus-baseline difference of -0.017 m with a 95% confidence interval of [-0.024, -0.008] m, while orientation error remains essentially unchanged. These results indicate that situation-aware covariance scheduling provides a modest but consistent vision-free dead-reckoning improvement without switching estimators or resetting the filter.

Use of quadrotor UAVs for wind velocity estimation is gaining popularity in recent studies, leveraging their maneuverability, compact size and low cost. Among available approaches, model-based wind velocity estimation is most commonly used, since it relies only on onboard sensors. However, as the quadrotor is a highly nonlinear system, thus making this task challenging. This study evaluate the use of both discrete and continuous dynamic equations of the quadrotor UAV for wind velocity estimation on SE(3), rather than commonly adapted continuous or discretized form. Lie Group Variational Integrator, developed on discrete Lagrangian is used as the discrete model without any approximation or discritization. The study assess both the discrete and continuous form of the quadrotor dynamics on SE(3) using Extended Kalman filter (EKF), and Unscented Kalman filter (UKF). The quadrotor UAV performance is evaluated in both MATLAB-based numerical simulations and free outdoor flight. The numerical simulations are conducted during both hovering and trajectory-tracking flights. Results demonstrate that, by using discrete SE(3) dynamics coupled with UKF, the quadrotor achieves higher estimation accuracy while maintaining trajectory tracking, even with low-cost sensors. These findings highlight the potential of discrete quadrotor models with UKF not only for wind velocity estimation but also for other high-accuracy tasks, even when relying on low-cost onboard sensors.

We propose a robust Extended Kalman Filter (EKF) architecture for land navigation using an array of hundreds of low-cost micro-electromechanical systems (MEMS) inertial sensors. The main challenges in this setting are bursty sensor-specific bias errors, bias drift, and the need to aggregate many inertial measurements without increasing the computational burden of the navigation filter. To address these challenges, we introduce Robust Inertial Sensor Array Fusion (RISAF), a pre-filtering framework that combines dynamic percentile gating with real-time bias tracking before the EKF prediction step. The proposed aggregation suppresses anomalous sensor readings and compensates for individual sensor drift while preserving the vehicle-level kinematic signal. Because the resulting fused inertial measurements are passed to a standard EKF, the navigation filter retains a minimal state vector and supports real-time execution. We evaluate RISAF through extensive simulations and real-world field tests in GNSS-denied environments, with the data provided as supplementary material. Compared with a baseline that averages the sensor readings, RISAF achieves substantially improved azimuth accuracy and reduced drift accumulation. These results demonstrate that robust fusion of large MEMS inertial arrays can bridge a substantial part of the gap between cost-effective hardware and tactical-grade inertial navigation performance.

Nowadays mobile robots have wide engineering applications. Simultaneous localization and mapping (SLAM) is an important task of these robots. The major and common algorithms used for this task are based on extended Kalman filter (EKF). One of the main problems in EKF-based SLAM is its divergence. The nonlinearity of motion and observation models and linearization error are the main reasons for the divergence. There have been some efforts to address this problem with limited success. In this paper, by applying a simple compass and using an effective transformation, we transform the non-linear state space model into a linear model. Then, by applying the original KF to this model, we reach a new method, which is called LMKF SLAM. We show that the LMKF SLAM is significantly superior to the state-of-the-art methods, especially EKF-based SLAMs, both in accuracy, convergence, and computational complexity. The proposed method is also more stable with respect to the uncertainty of sensors values and changes in system parameters. Experimental results verify these points.

In this paper, we present a fully discrete approach for the accurate and numerically efficient dynamical modeling and state estimation of continuum robots. The model is based on geometrically exact beams in a minimal, strain-based formulation and derived in the framework of Lie group variational integrators, allowing to preserve important geometric properties that we exploit to achieve high accuracy and numerical efficiency. We then propose a disturbance observer based on an extended Kalman filter formulation that reliably estimates system states as well as model uncertainties and external disturbances. Experiments on a real system validate the accuracy and efficiency of the proposed model and observer.

State estimation is the closed-loop core of every real-time tracking system, from radar surveillance and counter-UAV defense to autonomous driving and robotics. These deployments run on edge platforms, where defense systems mount on vehicles and drones, and civilian pipelines live on cars and handheld devices. Here, every additional watt of compute erodes mission duration or operational range. Two hard constraints follow: each new measurement must be fused before the next control cycle, and the total compute must fit within a strict battery and thermal power envelope. The Linear and Extended Kalman Filters (LKF, EKF) are dominant estimators on these systems, but today they execute almost exclusively on CPUs, which serialize multi-object tracking (MOT) updates, or on custom FPGA/ASIC accelerators that lengthen design cycles. Contemporary AI-PC SoCs, like the Intel Core Ultra Series 1 and 2, integrate a low-power, data-parallel Neural Processing Unit (NPU). We therefore ask whether the Kalman filter can be mapped onto this existing matrix engine to meet real-time and low-power budgets simultaneously, avoiding a dedicated accelerator and keeping the CPU and GPU free for primary workloads. We present KATANA, an NPU-aware optimization framework delivering the first end-to-end mapping of the LKF and EKF onto a commercial NPU, alongside a cross-platform characterization on shipping AI-PC silicon. KATANA applies three algebraic graph rewrites: subtract-to-add reformulation via a precomputed negative-projection matrix H_neg, static-shape tensor fusion, and block-diagonal batched parallelization, ensuring 100% of operations execute on the DPU matrix engine. On the Series 2, the optimized batched EKF reaches 223.35 FPS at 13.43 W active power, and the LKF reaches 408.73 FPS at 14.05 W, delivering up to a 97.9% reduction in dynamic energy versus the CPU implementation.

Precise state estimation for navigation of autonomous agricultural robots is often compromised by sensor outages (GNSS/LiDAR/Visual) and high-frequency vibrations inherent in off-road environments. This paper proposes a robust navigation algorithm based on a jerk-augmented Extended Kalman Filter (EKF) integrated with a Multiple Tuning Factor (MTF) adaptation method. Unlike standard EKF approaches that assume constant measurement noise, our method dynamically adjusts the measurement covariance matrix in real-time, allowing the system to cope with sudden disturbances and sensor outliers. We evaluate the algorithm using real-world data from a Salin247 autonomous robot. Results demonstrate that jerk-augmentation combined with MTF adaptation significantly reduces 3D position Root Mean Square Error (RMSE) compared to baseline EKF models, providing superior dead-reckoning capabilities.

Robust state estimation is central to robotic autonomy, yet classical Kalman filters struggle with frequency-dependent disturbances and model mismatch such as sensor vibrations, electromagnetic interference, and periodic noise. Although Deep Kalman Filter (DKF) variants extend the Extended Kalman Filtering (EKF) framework by learning latent transitions, they lack explicit mechanisms to suppress band-limited noise components that typically corrupt sensor measurements in real-world scenarios. We introduce the Frequency-Weighted Neural Kalman Filter (FW-NKF), a unified hybrid approach that embeds a causal spectral-shaping operator into the Kalman measurement residual and jointly learns observation, and transition networks. By adapting both the filter spectrum and the latent state representation, FW-NKF attenuates the noise-dominated frequency bands while capturing complex residual structures. We conduct extensive experiments on four heterogeneous benchmarks, including chaotic systems such as multi-dimensional Lorenz systems and full-body inertial pose estimation, and find a reduction in localization error of up to 10% as well as marked improvements in orientation accuracy. Our ablation studies confirm that frequency weighting and deep latent-state modeling contribute to overall performance.

Dynamical systems reconstruction (DSR) aims to learn surrogate models that capture the dynamics underlying time-series data. Reliably deploying these surrogates requires uncertainty estimates consistent with the learned dynamics. We expose a dynamic-probabilistic consistency (DPC) gap: the pursuit of finite-horizon probabilistic objectives can degrade dynamics or decouple predictive uncertainty from the local tangent dynamics it ought to reflect. We isolate three mechanisms behind this gap: core collapse, noise masking, and blind uncertainty. Specifically, we show that open-loop Gaussian rollout objectives can penalize Jacobian-generated covariance growth in chaotic systems, encouraging optimization shortcuts that weaken physical expansion or decouple uncertainty from it. To mitigate this gap, we propose KAFFEE (Kalman-Aware Framework For Ergodic Emulation), a differentiable extended Kalman filter-based training framework that evaluates likelihood on local predictive residuals (innovations) while transporting covariance through learned local Jacobians. On stochastic hyperchaotic Lorenz-96, KAFFEE reduces the identified failure modes, improves reconstruction of dynamical invariants relative to open-loop objectives, and maintains competitive predictive scores. We further show that the DPC gap appears when probabilistically adapting a DSR foundation model across 13 chaotic systems, where KAFFEE enables in-context Bayesian filtering while largely preserving zero-shot dynamics.

Digital twins provide a powerful paradigm for diagnostic and prognostic tasks in the monitoring and control of engineered systems; however, their deployment for complex structures remains challenged by model-form uncertainty, arising from unknown nonlinear dynamics, and by sparse sensing. These limitations hinder reliable online state estimation using either purely physics-based or purely data-driven approaches. This work introduces the Physics-Guided Graph Neural ODE (PiGGO) framework, a physics-informed, graph-based Bayesian state estimation approach in which a learned graph neural ordinary differential equation (GNODE) serves as the continuous-time state-transition model within an extended Kalman filter. The graph representation explicitly defines the system state-space, while physics-guided inductive biases encode known structural relationships and constrain the learning of nonlinear dynamics. By integrating graph-native learned dynamics with recursive Bayesian filtering, the proposed PiGGO framework enables online virtual sensing and uncertainty-aware state estimation for nonlinear systems with unknown model form, while maintaining generalisation across topologically similar structures. Numerical case studies demonstrate improved robustness to model uncertainty and measurement noise, outperforming both open-loop graph neural models and conventional filtering approaches in online prediction tasks.

To enable autonomous wind estimation for energy-efficient flight in small unmanned aerial vehicles (UAVs), this study proposes a method that estimates flight states and wind using only the low-cost essential onboard sensors required for autonomous flight, without relying on additional wind measurement devices. The core of the method includes an Extended Kalman Filter (EKF) integrated with the aerodynamic model and an Adaptive Moving Average Estimation (AMAE) technique, which improves the accuracy and smoothness of the wind estimation. Simulation results show that the approach efficiently estimates both steady and time-varying 3D wind vectors without requiring flow angle measurements. The impact of aerodynamic model accuracy on wind estimation errors is also analyzed to assess practical applicability. Flight tests validate the effectiveness of the method and its feasibility for real-time onboard computation. Additionally, uncertainties and error sources encountered during testing are systematically examined, providing a foundation for further refinement.