Computationally Efficient Simplex Unscented Kalman Filter Based on Numerical Integration

This paper concerns the computationally efficient unscented Kalman filter (UKF) for nonlinear dynamic systems. From the numerical integration viewpoint, it is proved for the first time that the spherical simplex unscented transformation (UT) cannot be derived from the integration rule of degree 2, w...

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Bibliographic Details
Published in:Asian journal of control 2014-05, Vol.16 (3), p.915-921
Main Authors: Hu, B. Q., Chang, L. B., Li, A., Qin, F. J.
Format: Article
Language:English
Subjects:
Algorithms
Dynamical systems
Gaussian filter
Kalman filters
Nonlinear systems
numerical integration
unscented transformation
Online Access:Get full text
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Summary:This paper concerns the computationally efficient unscented Kalman filter (UKF) for nonlinear dynamic systems. From the numerical integration viewpoint, it is proved for the first time that the spherical simplex unscented transformation (UT) cannot be derived from the integration rule of degree 2, which is inconsistent with well‐known previous works. Then a novel simplex UT consisting of n + 1 equally weighted points, which can construct a numerical integration formula of degree 2, is investigated. By embedding the proposed simplex UT into the Kalman filtering framework, a computationally efficient simplex UKF is derived. Compared with the spherical simplex UT based UKF, the proposed algorithm is more rigorous and more accurate.
ISSN:1561-8625
1934-6093
DOI:10.1002/asjc.687