Rényi entropy as a generalization of the Shannon entropy allows for different averaging of probabilities of a control parameter α. This paper gives a new perspective of the Kalman filter from the Rényi entropy. Firstly, the Rényi entropy is employed to measure the uncertainty of the multivariate Gaussian probability density function. Then, we calculate the temporal derivative of the Rényi entropy of the Kalman filter's mean square error matrix, which will be minimized to obtain the Kalman filter's gain. Moreover, the continuous Kalman filter approaches a steady state when the temporal derivative of the Rényi entropy is equal to zero, which means that the Rényi entropy will keep stable. As the temporal derivative of the Rényi entropy is independent of parameter α and is the same as the temporal derivative of the Shannon entropy, the result is the same as for Shannon entropy. Finally, an example of an experiment of falling body tracking by radar using an unscented Kalman filter (UKF) in noisy conditions and a loosely coupled navigation experiment are performed to demonstrate the effectiveness of the conclusion.
Keywords: Rényi entropy; algebraic Riccati equation; continuous Kalman filter; discrete Kalman filter; nonlinear differential Riccati equation.