Numerically robust Gaussian state estimation with singular observation noise

Nicholas Krämer, Filip Tronarp

Abstract: This article proposes numerically robust algorithms for Gaussian state estimation with singular observation noise. Our approach combines a series of basis changes with Bayes' rule, transforming the singular estimation problem into a nonsingular one with reduced state dimension. In addition to ensuring low runtime and numerical stability, our proposal facilitates marginal-likelihood computations and Gauss-Markov representations of the posterior process. We analyse the proposed method's computational savings and numerical robustness and validate our findings in a series of simulations.