Marginalizing and Conditioning Gaussians onto Linear Approximations of Smooth Manifolds with Applications in Robotics

We present closed-form expressions for marginalizing and conditioning Gaussians onto linear manifolds, and demonstrate how to apply these expressions to smooth non-linear manifolds through linearization. Although marginalization and conditioning onto axis-aligned manifolds are well-established procedures, doing so onto non-axis-aligned manifolds is not as well understood. We demonstrate the utility of our expressions through three applications: 1) approximation of the projected normal distribution, where the quality of our linearized approximation increases as problem non-linearity decreases; 2) covariance extraction in Koopman SLAM, where our covariances are shown to be consistent on a real-world dataset; and 3) covariance extraction in constrained GTSAM, where our covariances are shown to be consistent in simulation.