Time-varying noise statistic estimator based adaptive simplex cubature Kalman filter

DOI10.1155/2017/5349879MaRDI QIDQ1992857zbMATH OpenOpenAlexFDO

Authors Zhaoming Li, Wenge Yang, Dan Ding

Publication date 5 November 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2017/5349879

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Review text

Summary: To address the problem that filtering accuracy is reduced with the inaccurate time-varying noise statistic in conventional cubature Kalman filter, a noise statistic estimator based adaptive simplex cubature Kalman filter is put forward in this paper. First, the simplex cubature rule is adopted to approximate the intractable nonlinear Gaussian weighted integral in the filter. Secondly, a suboptimal unbiased constant noise statistic estimator is derived based on the maximum a posteriori estimation criterion. For the time-varying noise, the above estimator is modified using an exponential weighted attenuation method to realize the oblivion of stale data which results in a fading memory estimator, which has the ability to estimate the time-varying noise statistic to revise the filter online. The simulation results indicate that the proposed filter can achieve higher accuracy than conventional filters with inaccurate noise statistic.

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Cites work

• A new method for the nonlinear transformation of means and covariances in filters and estimators
• A Systematization of the Unscented Kalman Filter Theory
• Cubature Kalman Filtering for Continuous-Discrete Systems: Theory and Simulations
• Cubature Kalman Filters
• Performance evaluation of UKF-based nonlinear filtering
• Square-root cubature-quadrature Kalman filter
• Stochastic stability of the discrete-time extended Kalman filter
• Support vector regression-based adaptive divided difference filter for nonlinear state estimation problems
• Transformed Unscented Kalman Filter

Cited in

(4)

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• An adaptive UKF filtering algorithm based on maximum a posterior estimation and exponential weighting
• \({H_\infty}\) fuzzy adaptive cubature Kalman filter

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