Approximating a Laplacian Prior for Joint State and Model Estimation within an UKF

Low-quality models that miss relevant dynamics lead to major challenges in modelbased state estimation. We address this issue by simultaneously estimating the system’s states and its model inaccuracies by a square root unscented Kalman filter (SRUKF). Concretely, we augment the state with the parameter vector of a linear combination containing suitable functions that approximate the lacking dynamics. Presuming that only a few dynamical terms are relevant, the parameter vector is claimed to be sparse. In Bayesian setting, properties like sparsity are expressed by a prior distribution. One common choice for sparsity is a Laplace distribution. However, due to disadvantages of a Laplacian prior in regards to the SRUKF, the regularized horseshoe distribution, a Gaussian that approximately features sparsity, is applied instead. Results exhibit small estimation errors with model improvements detected by an automated model reduction technique.