A New Version of Unscented Kalman Filter

Authors: S. A. Banani, M. A. Masnadi-Shirazi

Abstract:

This paper presents a new algorithm which yields a nonlinear state estimator called iterated unscented Kalman filter. This state estimator makes use of both statistical and analytical linearization techniques in different parts of the filtering process. It outperforms the other three nonlinear state estimators: unscented Kalman filter (UKF), extended Kalman filter (EKF) and iterated extended Kalman filter (IEKF) when there is severe nonlinearity in system equation and less nonlinearity in measurement equation. The algorithm performance has been verified by illustrating some simulation results.

Keywords: Extended Kalman Filter, Iterated EKF, Nonlinearstate estimator, Unscented Kalman Filter.

Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1084464

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