Diffusion Maps Kalman Filter for a Class of Systems with Gradient Flows

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Authors Tal Shnitzer, R. Talmon, J. Slotine
Journal/Conference Name I
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Paper Abstract In this paper, we propose a non-parametric method for state estimation of high-dimensional nonlinear stochastic dynamical systems, which evolve according to gradient flows with isotropic diffusion. We combine diffusion maps, a manifold learning technique, with a linear Kalman filter and with concepts from Koopman operator theory. More concretely, using diffusion maps, we construct data-driven virtual state coordinates, which linearize the system model. Based on these coordinates, we devise a data-driven framework for state estimation using the Kalman filter. We demonstrate the strengths of our method with respect to both parametric and non-parametric algorithms in three tracking problems. In particular, applying the approach to actual recordings of hippocampal neural activity in rodents directly yields a representation of the position of the animals. We show that the proposed method outperforms competing non-parametric algorithms in the examined stochastic problem formulations. Additionally, we obtain results comparable to classical parametric algorithms, which, in contrast to our method, are equipped with model knowledge.
Date of publication 2020
Code Programming Language MATLAB
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