Nonlinear Filtering

In [1]:
%matplotlib inline
from __future__ import division, print_function
In [2]:
#format the book
import book_format


The Kalman filter that we have developed uses linear equations, and so the filter can only handle linear problems. But the world is nonlinear, and so the classic filter that we have been studying to this point can have very limited utility.

There can be nonlinearity in the process model. Suppose we want to track an object falling through the atmosphere. The acceleration of the object depends on the drag it encounters. Drag depends on air density, and the air density decreases with altitude. In one dimension this can be modelled with the nonlinear differential equation

$$\ddot x = \frac{0.0034ge^{-x/22000}\dot x^2}{2\beta} - g$$

A second source of nonlinearity comes from the measurements. For example, radars measure the slant range to an object, and we are typically interested in the aircraft's position over the ground. We invoke Pythagoras and get the nonlinear equation:

$$x=\sqrt{\mathtt{slant}^2 - \mathtt{altitude}^2}$$

These facts were not lost on the early adopters of the Kalman filter. Soon after Dr. Kalman published his paper people began working on how to extend the Kalman filter for nonlinear problems.

It is almost true to state that the only equation anyone knows how to solve is $\mathbf{Ax}=\mathbf{b}$. We only really know how to do linear algebra. I can give you any linear set of equations and you can either solve it or prove that it has no solution.

Anyone with formal education in math or physics has spent years learning various analytic ways to solve integrals, differential equations and so on. Yet even trivial physical systems produce equations that cannot be solved analytically. I can take an equation that you are able to integrate, insert a $\log$ term, and render it insolvable. This leads to jokes about physicists stating "assume a spherical cow on a frictionless surface in a vacuum...". Without making extreme simplifications most physical problems do not have analytic solutions.

How do we do things like model airflow over an aircraft in a computer, or predict weather, or track missiles with a Kalman filter? We retreat to what we know: $\mathbf{Ax}=\mathbf{b}$. We find some way to linearize the problem, turning it into a set of linear equations, and then use linear algebra software packages to compute an approximate solution.

Linearizing a nonlinear problem gives us inexact answers, and in a recursive algorithm like a Kalman filter or weather tracking system these small errors can sometimes reinforce each other at each step, quickly causing the algorithm to spit out nonsense.

What we are about to embark upon is a difficult problem. There is not one obvious, correct, mathematically optimal solution anymore. We will be using approximations, we will be introducing errors into our computations, and we will forever be battling filters that diverge, that is, filters whose numerical errors overwhelm the solution.

In the remainder of this short chapter I will illustrate the specific problems the nonlinear Kalman filter faces. You can only design a filter after understanding the particular problems the nonlinearity in your problem causes. Subsequent chapters will then teach you how to design and implement different kinds of nonlinear filters.

The Problem with Nonlinearity

The mathematics of the Kalman filter is beautiful in part due to the Gaussian equation being so special. It is nonlinear, but when we add and multiply them we get another Gaussian as a result. That is very rare. $\sin{x}*\sin{y}$ does not yield a $\sin$ as an output.

What I mean by linearity may be obvious, but there are some subtleties. The mathematical requirements are twofold:

  • additivity: $f(x+y) = f(x) + f(y)$
  • homogeneity: $f(ax) = af(x)$

This leads us to say that a linear system is defined as a system whose output is linearly proportional to the sum of all its inputs. A consequence of this is that to be linear if the input is zero than the output must also be zero. Consider an audio amp - if I sing into a microphone, and you start talking, the output should be the sum of our voices (input) scaled by the amplifier gain. But if the amplifier outputs a nonzero signal such as a hum for a zero input the additive relationship no longer holds. This is because linearity requires that $amp(voice) = amp(voice + 0)$. This clearly should give the same output, but if amp(0) is nonzero, then

$$ \begin{aligned} amp(voice) &= amp(voice + 0) \\ &= amp(voice) + amp(0) \\ &= amp(voice) + non\_zero\_value \end{aligned} $$

which is clearly nonsense. Hence, an apparently linear equation such as

$$L(f(t)) = f(t) + 1$$

is not linear because $L(0) = 1$. Be careful!

An Intuitive Look at the Problem

I particularly like the following way of looking at the problem, which I am borrowing from Dan Simon's Optimal State Estimation [1]. Consider a tracking problem where we get the range and bearing to a target, and we want to track its position. The reported distance is 50 km, and the reported angle is 90$^\circ$. Assume that the errors in both range and angle are distributed in a Gaussian manner. Given an infinite number of measurements what is the expected value of the position?

I have been recommending using intuition to gain insight, so let's see how it fares for this problem. We might reason that since the mean of the range will be 50 km, and the mean of the angle will be 90$^\circ$, that the answer will be x=0 km, y=50 km.

Let's plot that and find out. Here are 3000 points plotted with a normal distribution of the distance of 0.4 km, and the angle having a normal distribution of 0.35 radians. We compute the average of the all of the positions, and display it as a star. Our intuition is displayed with a large circle.

In [3]:
import numpy as np
from numpy.random import randn
import matplotlib.pyplot as plt

N = 5000
a = np.pi/2. + (randn(N) * 0.35)
r = 50.0     + (randn(N) * 0.4)
xs = r * np.cos(a)
ys = r * np.sin(a)

plt.scatter(xs, ys, label='Sensor', color='k', 
            alpha=0.4, marker='.', s=1)
xmean, ymean = sum(xs) / N, sum(ys) / N
plt.scatter(0, 50, c='k', marker='o', s=200, label='Intuition')
plt.scatter(xmean, ymean, c='r', marker='*', s=200, label='Mean')

We can see that out intuition failed us because the nonlinearity of the problem forced all of the errors to be biased in one direction. This bias, over many iterations, can cause the Kalman filter to diverge. Even if it doesn't diverge the solution will not be optimal. Linear approximations applied to nonlinear problems yields inaccurate results.

The Effect of Nonlinear Functions on Gaussians

Gaussians are not closed under an arbitrary nonlinear function. Recall the equations of the Kalman filter - at each evolution we pass the Gaussian representing the state through the process function to get the Gaussian at time $k$. Our process function was always linear, so the output was always another Gaussian. Let's look at that on a graph. I will take an arbitrary Gaussian and pass it through the function $f(x) = 2x + 1$ and plot the result. We know how to do this analytically, but let's use sampling. I will generate 500,000 points with a normal distribution, pass them through $f(x)$, and plot the results. I do it this way because the next example will be nonlinear, and we will have no way to compute this analytically.

In [4]:
from numpy.random import normal

data = normal(loc=0., scale=1., size=500000)
plt.hist(2*data + 1, 1000);

This is an unsurprising result. The result of passing the Gaussian through $f(x)=2x+1$ is another Gaussian centered around 1. Let's look at the input, nonlinear function, and output at once.

In [5]:
from kf_book.book_plots import set_figsize, figsize
from kf_book.nonlinear_plots import plot_nonlinear_func

def g1(x):
    return 2*x+1

plot_nonlinear_func(data, g1)

I explain how to plot Gaussians, and much more, in the Notebook Computing_and_Plotting_PDFs in the Supporting_Notebooks folder. You can also read it online here[1]

The plot labeled 'Input' is the histogram of the original data. This is passed through the function $f(x)=2x+1$ which is displayed in the chart on the bottom left. The red lines shows how one value, $x=0$ is passed through the function. Each value from input is passed through in the same way to the output function on the right. For the output I computed the mean by taking the average of all the points, and drew the results with the dotted blue line. A solid blue line shows the actual mean for the point $x=0$. The output looks like a Gaussian, and is in fact a Gaussian. We can see that the variance in the output is larger than the variance in the input, and the mean has been shifted from 0 to 1, which is what we would expect given the transfer function $f(x)=2x+1$ The $2x$ affects the variance, and the $+1$ shifts the mean The computed mean, represented by the dotted blue line, is nearly equal to the actual mean. If we used more points in our computation we could get arbitrarily close to the actual value.

Now let's look at a nonlinear function and see how it affects the probability distribution.

In [6]:
def g2(x):
    return (np.cos(3*(x/2 + 0.7))) * np.sin(0.3*x) - 1.6*x

plot_nonlinear_func(data, g2)

This result may be somewhat surprising to you. The function looks "fairly" linear, but the probability distribution of the output is completely different from a Gaussian. Recall the equations for multiplying two univariate Gaussians:

$$\begin{aligned} \mu &=\frac{\sigma_1^2 \mu_2 + \sigma_2^2 \mu_1} {\sigma_1^2 + \sigma_2^2} \\ \sigma &= \frac{1}{\frac{1}{\sigma_1^2} + \frac{1}{\sigma_2^2}} \end{aligned}$$

These equations do not hold for non-Gaussians, and certainly do not hold for the probability distribution shown in the 'Output' chart above.

Here's another way to look at the same data as scatter plots.

In [7]:
N = 30000
plt.scatter(data[:N], range(N), alpha=.1, s=1.5)
plt.scatter(g2(data[:N]), range(N), alpha=.1, s=1.5);

The original data is clearly Gaussian, but the data passed through g2(x) is no longer normally distributed. There is a thick band near -3, and the points are unequally distributed on either side of the band. If you compare this to the pdf labelled 'output' in the previous chart you should be able to see how the pdf shape matches the distribution of g(data).

Think of what this implies for the Kalman filter algorithm of the previous chapter. All of the equations assume that a Gaussian passed through the process function results in another Gaussian. If this is not true then all of the assumptions and guarantees of the Kalman filter do not hold. Let's look at what happens when we pass the output back through the function again, simulating the next step time step of the Kalman filter.

In [8]:
y = g2(data)
plot_nonlinear_func(y, g2)

As you can see the probability function is further distorted from the original Gaussian. However, the graph is still somewhat symmetric around x=0, let's see what the mean is.

In [9]:
print('input  mean, variance: %.4f, %.4f' % 
      (np.mean(data), np.var(data)))
print('output mean, variance: %.4f, %.4f' % 
      (np.mean(y), np.var(y)))
input  mean, variance: -0.0014, 1.0015
output mean, variance: -0.1224, 2.4071

Let's compare that to the linear function that passes through (-2,3) and (2,-3), which is very close to the nonlinear function we have plotted. Using the equation of a line we have

In [10]:
def g3(x): 
    return -1.5 * x

plot_nonlinear_func(data, g3)
out = g3(data)
print('output mean, variance: %.4f, %.4f' % 
      (np.mean(out), np.var(out)))
output mean, variance: 0.0021, 2.2534

Although the shapes of the output are very different, the mean and variance of each are almost the same. This may lead us to reasoning that perhaps we can ignore this problem if the nonlinear equation is 'close to' linear. To test that, we can iterate several times and then compare the results.

In [11]:
out = g3(data)
out2 = g2(data)

for i in range(10):
    out = g3(out)
    out2 = g2(out2)
print('linear    output mean, variance: %.4f, %.4f' % 
      (np.average(out), np.std(out)**2))
print('nonlinear output mean, variance: %.4f, %.4f' % 
      (np.average(out2), np.std(out2)**2))
linear    output mean, variance: 0.1203, 7493.1028
nonlinear output mean, variance: -8.9495, 30582.7186

Unfortunately the nonlinear version is not stable. It drifted significantly from the mean of 0, and the variance is half an order of magnitude larger.

I minimized the issue by using a function that is quite close to a straight line. What happens if the function is $y(x)=-x^2$?

In [12]:
def g3(x): 
    return -x*x

data = normal(loc=1, scale=1, size=500000)
plot_nonlinear_func(data, g3)

Despite the curve being smooth and reasonably straight at $x=1$ the probability distribution of the output doesn't look anything like a Gaussian and the computed mean of the output is quite different than the value computed directly. This is not an unusual function - a ballistic object moves in a parabola, and this is the sort of nonlinearity your filter will need to handle. If you recall we've tried to track a ball and failed miserably. This graph should give you insight into why the filter performed so poorly.

A 2D Example

It is hard to look at probability distributions and reason about what will happen in a filter. So let's think about tracking an aircraft with radar. The estimate may have a covariance that looks like this:

In [13]:
import kf_book.nonlinear_internal as nonlinear_internal


What happens when we try to linearize this problem? The radar gives us a range to the aircraft. Suppose the radar is directly under the aircraft (x=10) and the next measurement states that the aircraft is 3 miles away (y=3). The positions that could match that measurement form a circle with radius 3 miles, like so.

In [14]:

We can see by inspection that the probable position of the aircraft is somewhere near x=11.4, y=2.7 because that is where the covariance ellipse and range measurement overlap. But the range measurement is nonlinear so we have to linearize it. We haven't covered this material yet, but the Extended Kalman filter will linearize at the last position of the aircraft - (10,2). At x=10 the range measurement has y=3, and so we linearize at that point.

In [15]:

Now we have a linear representation of the problem (literally a straight line) which we can solve. Unfortunately you can see that the intersection of the line and the covariance ellipse is a long way from the actual aircraft position.

In [16]:

That sort of error often leads to disastrous results. The error in this estimate is large. But in the next innovation of the filter that very bad estimate will be used to linearize the next radar measurement, so the next estimate is likely to be markedly worse than this one. After only a few iterations the Kalman filter will diverge, and start producing results that have no correspondence to reality.

This covariance ellipse spans miles. I exaggerated the size to illustrate the difficulties of highly nonlinear systems. In real radar tracking problems the nonlinearity is usually not that bad, but the errors will still accumulate. Other systems you might work with could have this amount of nonlinearity - this was not an exaggeration only to make a point. You will always be battling divergence when working with nonlinear systems.

The Algorithms

You may be impatient to solve a specific problem, and wondering which filter to use. I will quickly survey the options. The subsequent chapters are somewhat independent of each other, and you can fruitfully skip around, though I recommend reading linearly if you truly want to mast