Inverse Unscented Kalman Filter

• URL: http://arxiv.org/abs/2304.01698v2
• Date: Wed, 1 May 2024 08:37:08 GMT
• Title: Inverse Unscented Kalman Filter
• Authors: Himali Singh, Kumar Vijay Mishra, Arpan Chattopadhyay,
• Abstract summary: A cognitive 'adversary' tracks its target of interest via a framework such as a Kalman filter (KF) The target or 'defender' then employs another inverse unscented filter to infer the forward filter estimates of the defender computed by the adversary. For linear systems, the inverse Kalman filter (I-KF) has been recently shown to be effective in these counter-adversarial applications.
• Score: 16.975704972827305
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Rapid advances in designing cognitive and counter-adversarial systems have motivated the development of inverse Bayesian filters. In this setting, a cognitive 'adversary' tracks its target of interest via a stochastic framework such as a Kalman filter (KF). The target or 'defender' then employs another inverse stochastic filter to infer the forward filter estimates of the defender computed by the adversary. For linear systems, the inverse Kalman filter (I-KF) has been recently shown to be effective in these counter-adversarial applications. In the paper, contrary to prior works, we focus on non-linear system dynamics and formulate the inverse unscented KF (I-UKF) to estimate the defender's state based on the unscented transform, or equivalently, statistical linearization technique. We then generalize this framework to unknown systems by proposing reproducing kernel Hilbert space-based UKF (RKHS-UKF) to learn the system dynamics and estimate the state based on its observations. Our theoretical analyses to guarantee the stochastic stability of I-UKF and RKHS-UKF in the mean-squared sense show that, provided the forward filters are stable, the inverse filters are also stable under mild system-level conditions. We show that, despite being a suboptimal filter, our proposed I-UKF is a conservative estimator, i.e., I-UKF's estimated error covariance upper-bounds its true value. Our numerical experiments for several different applications demonstrate the estimation performance of the proposed filters using recursive Cram\'{e}r-Rao lower bound and non-credibility index (NCI).

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