A Recursive Newton Method for Smoothing in Nonlinear State Space Models

Fatemeh Yaghoobi, Hany Abdulsamad, Simo Särkkä

Abstract: In this paper, we use the optimization formulation of nonlinear Kalman filtering and smoothing problems to develop second-order variants of iterated Kalman smoother (IKS) meth-ods. We show that Newton's method corresponds to a recursion over affine smoothing problems on a modified state-space model augmented by a pseudo measurement. The first and second derivatives required in this approach can be efficiently computed with widely available automatic differentiation tools. Further-more, we show how to incorporate line-search and trust-region strategies into the proposed second-order IKS algorithm in order to regularize updates between iterations. Finally, we provide numerical examples to demonstrate the method's efficiency in terms of runtime compared to its batch counterpart.