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Extended Kalman Filtering on Stiefel Manifolds
Jordi-Lluís Figueras, Aron Persson, Lauri Viitasaari
A generalisation of the extended Kalman filter for Stiefel manifold-valued measurements is presented. We provide simulations on the 2-sphere and the space of orthogonal 4-by-2 matr…
On the Convergence of the Extended Kalman Filter on Stiefel Manifolds when Observing a Constant Particle with Measurement Errors
Jordi-Lluís Figueras, Aron Persson, Lauri Viitasaari
In this paper we first introduce the setting of filtering on Stiefel manifolds. Then, assuming the underlying system process is constant, the convergence of the extended Kalman fil…
Autoregressive Processes on Stiefel and Grassmann Manifolds
Jordi-Lluís Figueras, Aron Persson
System identification methods for autoregressive processes on Stiefel and Grassmann manifolds are presented and studied. We model the system parameters as elements of the orthogona…