Particle Flow Filters estimate the “a posteriori” probability density function (PDF) by moving an ensemble of particles according to the likelihood. Particles are propagated under the system dynamics until a measurement becomes available when each particle undergoes an additional stochastic differential equation in a pseudo-time that updates the distribution following a homotopy transformation. This flow of particles can be represented as a recursive update step of the filter. In this work, we leverage the Differential Algebra (DA) representation of the solution flow of dynamics to improve the computational burden of particle flow filters. Thanks to this approximation, both the prediction and the update differential equations are solved in the DA framework, creating two sets of polynomial maps: the first propagates particles forward in time while the second updates particles, achieving the flow. The final result is a new particle flow filter that rapidly propagates and updates PDFs using mathematics based on deviation vectors. Numerical applications show the benefits of the proposed technique, especially in reducing computational time, so that small systems such as CubeSats can run the filter for attitude determination.

This paper proposes a new method to propagate uncertainties undergoing nonlinear dynamics using the Koopman Operator (KO). Probability density functions are propagated directly using the Koopman approximation of the solution flow of the system, where the dynamics have been projected on a welldefined set of basis functions. The prediction technique is derived following both the analytical (Galerkin) and numerical (EDMD) derivation of the KO, and a least square reduction algorithm assures the recursivity of the proposed methodology.

Filters relying on the Gaussian approximation typically incorporate the measurement linearly, i.e., the value of the measurement is pre-multiplied by a matrix-valued gain in the state update. Nonlinear filters that relax the Gaussian assumption, on the other hand, typically approximate the distribution of the state with a finite sum of point masses or Gaussian distributions. In this work, the distribution of the state is approximated by a polynomial transformation of a Gaussian distribution, allowing for all moments, central and raw, to be rapidly computed in closed form. Knowledge of the higher-order moments is then employed to perform a polynomial measurement update, i.e., the value of the measurement enters the update function as a polynomial of arbitrary order. A filter employing a Gaussian approximation with linear update is, therefore, a special case of the proposed algorithm when the order of the update is set to one. At the cost of more computations, the new methodology guarantees performance better than the linear/Gaussian approach for nonlinear systems. This work employs monomial basis functions and Taylor series, but it is readily extendable to an orthogonal polynomial basis.