  The Gaussian Filter (GF) is one of the most widely used filtering algorithms;
instances are the Extended Kalman Filter, the Unscented Kalman Filter and the
Divided Difference Filter. GFs represent the belief of the current state by a
Gaussian with the mean being an affine function of the measurement. We show
that this representation can be too restrictive to accurately capture the
dependences in systems with nonlinear observation models, and we investigate
how the GF can be generalized to alleviate this problem. To this end, we view
the GF from a variational-inference perspective. We analyse how restrictions on
the form of the belief can be relaxed while maintaining simplicity and
efficiency. This analysis provides a basis for generalizations of the GF. We
propose one such generalization which coincides with a GF using a virtual
measurement, obtained by applying a nonlinear function to the actual
measurement. Numerical experiments show that the proposed Feature Gaussian
Filter (FGF) can have a substantial performance advantage over the standard GF
for systems with nonlinear observation models.
