A Kalman Filter for Multilinear Forms and Its Connection with Tensorial Adaptive Filters †

The Kalman filter represents a very popular signal processing tool, with a wide range of applications within many fields. Following a Bayesian framework, the Kalman filter recursively provides an optimal estimate of a set of unknown variables based on a set of noisy observations. Therefore, it fits system identification problems very well. Nevertheless, such scenarios become more challenging (in terms of the convergence and accuracy of the solution) when the parameter space becomes larger. In this context, the identification of linearly separable systems can be efficiently addressed by exploiting tensor-based decomposition techniques. Such multilinear forms can be modeled as rank-1 tensors, while the final solution is obtained by solving and combining low-dimension system identification problems related to the individual components of the tensor. Recently, the identification of multilinear forms was addressed based on the Wiener filter and most well-known adaptive algorithms. In this work, we propose a tensorial Kalman filter tailored to the identification of multilinear forms. Furthermore, we also show the connection between the proposed algorithm and other tensor-based adaptive filters. Simulation results support the theoretical findings and show the appealing performance features of the proposed Kalman filter for multilinear forms.