Optimization of an unscented Kalman filter for an embedded platform

The unscented Kalman filter (UKF) is finding increased application in biological fields. While realizing a complex UKF system in a low-power embedded platform offers many potential benefits including wearability, it also poses significant design challenges. Here we present a method for optimizing a UKF system for realization in an embedded platform. The method seeks to minimize both computation time and error in UKF state reconstruction and forecasting. As a case study, we applied the method to a model for the rat sleep-wake regulatory system in which 432 variants of the UKF over six different variables are considered. The optimization method is divided into three stages that assess computation time, state forecast error, and state reconstruction error. We apply a cost function to variants that pass all three stages to identify a variant that computes 27 times faster than the reference variant and maintains required levels of state estimation and forecasting accuracy. We draw the following insights: 1) process noise provides leeway for simplifying the model and its integration in ways that speed computation time while maintaining state forecasting accuracy, 2) the assimilation of observed data during the UKF correction step provides leeway for simplifying the UKF structure in ways that speed computation time while maintaining state reconstruction accuracy, and 3) the optimization process can be accelerated by decoupling variables that directly impact the underlying model from variables that impact the UKF structure.