Robust Automatic Differentiation of Square-Root Kalman Filters via Gramian Differentials

Abstract

Square-root Kalman filters propagate state covariances in Cholesky-factor form for numerical stability, and are a natural target for gradient-based parameter learning in state-space models. Their core operation, triangularization of a matrix $M\in {\mathbb{R}}^{n\times m}$, is computed via a QR decomposition in practice, but naively differentiating through it causes two problems: the semi-orthogonal factor is non-unique when $m>n$, yielding undefined gradients; and the standard Jacobian formula involves inverses, which diverges when $M$ is rank-deficient. Both are resolved by the observation that all filter outputs relevant to learning depend on the input matrix only through the Gramian $M{M}^{\top }$, so the composite loss is smooth in $M$ even where the triangularization is not. We derive a closed-form chain-rule directly from the differential of this Gramian identity, prove it exact for the Kalman log-marginal likelihood and filtered moments, and extend it to rank-deficient inputs via a two-component decomposition: a column-space term based on the Moore--Penrose pseudoinverse, and a null-space correction for perturbations outside the column space of $M$.

arXiv comment4 pages, documents the mathematics of a bug fix at https://github.com/state-space-models/cuthbert