A comparative study of the Benes filtering problem (Q5958502)

This paper studies a nonlinear filter due to Benes for which the optimum solution is known. The paper compares the estimation performance of the Benes filter to those of well-known approximate filters: the extended Kalman, the statistical linearisation and the particle filtering. The performance of all these four filters are also compared to the Cramér-Rao lower bound. Thus, the Benes filter is a yardstick to rank the above-mentioned known techniques in terms of performance and computational cost, which solves in an approximate manner the problem solved in an optimum way by Benes. This class of nonlinear filtering problems is interesting for application problems like target tracking.