Recent counter-adversarial system design problems have motivated the development of inverse Bayesian filters. For example, inverse Kalman filter (I-KF) has been recently formulated to estimate the adversary's Kalman filter tracked estimates and hence, predict the adversary's future steps. The purpose of this paper and the companion paper (Part I) is to address the inverse filtering problem in non-linear systems by proposing an inverse extended Kalman filter (I-EKF). In a companion paper (Part I), we developed the theory of I-EKF (with and without unknown inputs) and I-KF (with unknown inputs). In this paper, we develop this theory for highly non-linear models, which employ second-order, Gaussian sum, and dithered forward EKFs. In particular, we derive theoretical stability guarantees for the inverse second-order EKF using the bounded non-linearity approach. To address the limitation of the standard I-EKFs that the system model and forward filter are perfectly known to the defender, we propose reproducing kernel Hilbert space-based EKF to learn the unknown system dynamics based on its observations, which can be employed as an inverse filter to infer the adversary's estimate. Numerical experiments demonstrate the state estimation performance of the proposed filters using recursive Cramér-Rao lower bound as a benchmark.
Recent advances in counter-adversarial systems have garnered significant research interest in inverse filtering from a Bayesian perspective. For example, interest in estimating the adversary's Kalman filter tracked estimate with the purpose of predicting the adversary's future steps has led to recent formulations of inverse Kalman filter (I-KF). In this context of inverse filtering, we address the key challenges of nonlinear process dynamics and unknown input to the forward filter by proposing inverse extended Kalman filter (I-EKF). We derive I-EKF with and without an unknown input by considering nonlinearity in both forward and inverse state-space models. In the process, I-KF-withunknown-input is also obtained. We then provide theoretical stability guarantees using both bounded nonlinearity and unknown matrix approaches. We further generalize these formulations and results to the case of higher-order, Gaussian-sum, and dithered I-EKFs. Numerical experiments validate our methods for various proposed inverse filters using the recursive Cramér-Rao lower bound as a benchmark.
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