Continuous-Discrete Filtering and Smoothing on Submanifolds of Euclidean Space

Filip Tronarp, Simo Särkkä

Published 2020-04-17Version 1

In this paper the issue of filtering and smoothing in continuous discrete time is studied when the state variable evolves in some submanifold of Euclidean space, which may not have the usual Lebesgue measure. Formal expressions for prediction and smoothing problems are derived, which agree with the classical results except that the formal adjoint of the generator is different in general. For approximate filtering and smoothing the projection approach is taken, where it turns out that the prediction and smoothing equations are the same as in the case when the state variable evolves in Euclidean space. The approach is used to develop projection filters and smoothers based on the von Mises-Fisher distribution.