We present a computationally efficient algorithm for using variations in the ambient magnetic field to compensate for position drift in integrated odometry measurements (dead-reckoning estimates) through simultaneous localization and mapping (SLAM). When the magnetic field map is represented with a reduced-rank Gaussian process (GP) using Laplace basis functions defined in a cubical domain, analytic expressions of the gradient of the learned magnetic field become available. An existing approach for magnetic field SLAM with reduced-rank GP regression uses a Rao-Blackwellized particle filter (RBPF). For each incoming measurement, training of the magnetic field map using an RBPF has a computational complexity per time step of $O\left(N_p{N}_m^2\right)$, where $N_p$ is the number of particles, and $N_m$ is the number of basis functions used to approximate the Gaussian process. Contrary to the existing particle filter-based approach, we propose applying an extended Kalman filter based on the gradients of our learned magnetic field map for simultaneous localization and mapping. Our proposed algorithm only requires training a single map. It, therefore, has a computational complexity at each time step of $O\left(N_m^2\right)$. We demonstrate the workings of the extended Kalman filter for magnetic field SLAM on an open-source data set from a foot-mounted sensor and magnetic field measurements collected onboard a model ship in an indoor pool. We observe that the drift compensating abilities of our algorithm are comparable to what has previously been demonstrated for magnetic field SLAM with an RBPF.

Basis Function (BF) expansions are a cornerstone of any engineer's toolbox for computational function approximation which shares connections with both neural networks and Gaussian processes. Even though BF expansions are an intuitive and straightforward model to use, they suffer from quadratic computational complexity in the number of BFs if the predictive variance is to be computed. We develop a method to automatically select the most important BFs for prediction in a sub-domain of the model domain. This significantly reduces the computational complexity of computing predictions while maintaining predictive accuracy. The proposed method is demonstrated using two numerical examples, where reductions up to 50–75% are possible without significantly reducing the predictive accuracy.

Basis Function (BF) expansions are a cornerstone of any engineer's toolbox for computational function approximation which shares connections with both neural networks and Gaussian processes. Even though BF expansions are an intuitive and straightforward model to use, they suffer from quadratic computational complexity in the number of BFs if the predictive variance is to be computed. We develop a method to automatically select the most important BFs for prediction in a sub-domain of the model domain. This significantly reduces the computational complexity of computing predictions while maintaining predictive accuracy. The proposed method is demonstrated using two numerical examples, where reductions up to 50-75% are possible without significantly reducing the predictive accuracy.

When an agent, person, vehicle or robot is moving through an unknown environment without GNSS signals, online mapping of nonlinear terrains can be used to improve position estimates when the agent returns to a previously mapped area. Mapping algorithms using online Gaussian process (GP) regression are commonly integrated in algorithms for simultaneous localisation and mapping (SLAM). However, GP mapping algorithms have increasing computational demands as the mapped area expands relative to spatial field variations. This is due to the need for estimating an increasing amount of map parameters as the area of the map grows. Contrary to this, we propose a recursive GP mapping estimation algorithm which uses local basis functions in an information filter to achieve spatial scalability. Our proposed approximation employs a global grid of finite support basis functions but restricts computations to a localized subset around each prediction point. As our proposed algorithm is recursive, it can naturally be incorporated into existing algorithms that uses Gaussian process maps for SLAM. Incorporating our proposed algorithm into an extended Kalman filter (EKF) for magnetic field SLAM reduces the overall computational complexity of the algorithm. We show experimentally that our algorithm is faster than existing methods when the mapped area is large and the map is based on many measurements, both for recursive mapping tasks and for magnetic field SLAM.

The Hilbert-space Gaussian Process (HGP) approach offers a hyperparameter-independent basis function approximation for speeding up Gaussian Process (GP) inference by projecting the GP onto M basis functions. These properties result in a favorable data-independent $\mathcal{O}(M^3)$ computational complexity during hyperparameter optimization but require a dominating one-time precomputation of the precision matrix costing $\mathcal{O}(NM^2)$ operations. In this paper, we lower this dominating computational complexity to $\mathcal{O}(NM)$ with no additional approximations. We can do this because we realize that the precision matrix can be split into a sum of Hankel-Toeplitz matrices, each having $\mathcal{O}(M)$ unique entries. Based on this realization we propose computing only these unique entries at $\mathcal{O}(NM)$ costs. Further, we develop two theorems that prescribe sufficient conditions for the complexity reduction to hold generally for a wide range of other approximate GP models, such as the Variational Fourier Feature (VFF) approach. The two theorems do this with no assumptions on the data and no additional approximations of the GP models themselves. Thus, our contribution provides a pure speed-up of several existing, widely used, GP approximations, without further approximations.