An engineer's guide to Particle Filtering on the Stiefel manifold

@article{Marjanovic2017AnEG,
  title={An engineer's guide to Particle Filtering on the Stiefel manifold},
  author={Goran Marjanovic and Victor Solo},
  journal={2017 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)},
  year={2017},
  pages={3834-3838}
}
In many engineering applications the state of a dynamical system is modelled by a Stochastic Differential Equation (SDE) evolving in a “curved” (non-Euclidean) space such as the Stiefel manifold - the set of n × p real matrices with orthonormal columns, (n ≥ p). Due to the advances in computing power, the problem of state estimation can be efficiently addressed by the Particle Filter (PF). However, PF algorithms have to be completely reworked to handle the geometry, and the very few papers that… CONTINUE READING

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