TY - JOUR
T1 - A New Continuous Discrete Unscented Kalman Filter
AU - Knudsen, Torben
AU - Leth, John-Josef
PY - 2019/5/1
Y1 - 2019/5/1
N2 - The time and measurement update for the discrete time Kalman filter can be formulated in terms of conditional means and covariances. The unscented Kalman filter can be interpreted as calculating these conditional means and covariances by using the unscented transform. This approach can also be directly applied to nonlinear models as an alternative to the discrete time extended Kalman filter. In this paper, a novel method for computing the unscented Kalman filter for a nonlinear model with continuous time dynamics and discrete time measurements is presented. Compared to the existing approaches, this method is far simpler and less computationally demanding, and it performs at least as well.
AB - The time and measurement update for the discrete time Kalman filter can be formulated in terms of conditional means and covariances. The unscented Kalman filter can be interpreted as calculating these conditional means and covariances by using the unscented transform. This approach can also be directly applied to nonlinear models as an alternative to the discrete time extended Kalman filter. In this paper, a novel method for computing the unscented Kalman filter for a nonlinear model with continuous time dynamics and discrete time measurements is presented. Compared to the existing approaches, this method is far simpler and less computationally demanding, and it performs at least as well.
KW - Computational modeling
KW - Continuous discrete estimation
KW - Differential equations
KW - Estimation
KW - Estimation and filtering
KW - Kalman filters
KW - Mathematical model
KW - Stochastic differential equation
KW - Time measurement
KW - Transforms
KW - Unscented Kalman filter
KW - Unscented transform
UR - http://www.scopus.com/inward/record.url?scp=85052696382&partnerID=8YFLogxK
U2 - 10.1109/TAC.2018.2867325
DO - 10.1109/TAC.2018.2867325
M3 - Journal article
SN - 0018-9286
VL - 64
SP - 2198
EP - 2205
JO - I E E E Transactions on Automatic Control
JF - I E E E Transactions on Automatic Control
IS - 5
M1 - 8447294
ER -