An Unscented PrO Kalman Filter
Abstract
Predictively-oriented (PrO) filtering for state-space models was proposed in Shen et al. [2026] as a promising route to avoiding over-confident inferences in settings where either the dynamical model, the measurement model, or both, could be misspecified. Our focus is on nonlinear state-space models, where the local linearisation used to construct the PrO filter in Shen et al. [2026] deteriorates as nonlinearities enter either the dynamical model or the measurement model. Our proposed solution is based on unscented transforms, an established tool from classical filtering which provides a more accurate mechanism to propagate Gaussian uncertainty through a nonlinear functional, and which includes the cubature rule as a special case. We introduce two variants: replacing the linearisation in the predict step alone, which we call UKF-PrO, has a computational cost comparable to the existing PrO filter; replacing it in the update step as well, UKF-PrO+, requires a substantially more expensive joint optimisation. Performance is empirically assessed on the Lorenz96 model under conditions of increasing difficulty, in which the state-space model is systematically misspecified; we find that UKF-PrO with the parameters of the cubature Kalman filter offers consistent improvements, which become substantial under strong nonlinearity, whereas the default unscented parameters are unreliable, and that the full update-step extension with the same parameters does not justify its additional cost.
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BibTeX
@misc{kean2026unscented,
title = {{An Unscented PrO Kalman Filter}},
author = {Dan Kean and Zheyang Shen and Chris. J. Oates},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.14773},
eprint = {2610.14773},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.14773},
}
RIS
TY - UNPB
TI - An Unscented PrO Kalman Filter
AU - Dan Kean
AU - Zheyang Shen
AU - Chris. J. Oates
PY - 2026
DA - 2026/10/10
PB - arXiv
DO - 10.48550/arxiv.2610.14773
UR - https://arxiv.org/abs/2610.14773
AB - Predictively-oriented (PrO) filtering for state-space models was proposed in Shen et al. [2026] as a promising route to avoiding over-confident inferences in settings where either the dynamical model, the measurement model, or both, could be misspecified. Our focus is on nonlinear state-space models, where the local linearisation used to construct the PrO filter in Shen et al. [2026] deteriorates as nonlinearities enter either the dynamical model or the measurement model. Our proposed solution is based on unscented transforms, an established tool from classical filtering which provides a more accurate mechanism to propagate Gaussian uncertainty through a nonlinear functional, and which includes the cubature rule as a special case. We introduce two variants: replacing the linearisation in the predict step alone, which we call UKF-PrO, has a computational cost comparable to the existing PrO filter; replacing it in the update step as well, UKF-PrO+, requires a substantially more expensive joint optimisation. Performance is empirically assessed on the Lorenz96 model under conditions of increasing difficulty, in which the state-space model is systematically misspecified; we find that UKF-PrO with the parameters of the cubature Kalman filter offers consistent improvements, which become substantial under strong nonlinearity, whereas the default unscented parameters are unreliable, and that the full update-step extension with the same parameters does not justify its additional cost.
ER -