[1] Zhang Weiming, Zhang Yanhua, Zhong Shan, Du Gang, et al. New approach of Kalman filter to nonlinear system [J]. Journal of Southeast University (English Edition), 2005, 21 (1): 24-28. [doi:10.3969/j.issn.1003-7985.2005.01.006]
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New approach of Kalman filter to nonlinear system(
)
非线性系统卡尔曼滤波新方法
)Journal of Southeast University (English Edition)[ISSN:1003-7985/CN:32-1325/N]
- Volumn:
- 21
- Issue:
- 2005 1
- Page:
- 24-28
- Research Field:
- Electronic Science and Engineering
- Publishing date:
- 2005-03-30
Info
- Title:
- New approach of Kalman filter to nonlinear system
- 非线性系统卡尔曼滤波新方法
- Author(s):
- Zhang Weiming1; Zhang Yanhua1; Zhong Shan2; Du Gang1
-
1Department of Information Measurement Technology and Instruments, Shanghai Jiaotong University, Shanghai 200030, China
2The Second Academy, China Aerospace Science and Industry Corporation, Beijing 100854, China
- PACS:
- TN713
- DOI:
- 10.3969/j.issn.1003-7985.2005.01.006
- Abstract:
- In order to achieve higher accuracy in nonlinear/non-Gaussian state estimation, this paper proposes a new unscented Kalman filter(UKF).It uses a deterministic sampling approach.We choose the unscented transformation(UT)scaling parameters α=0.85, β=2, l=0 to construct 2n+1 sigma points.These sigma points completely capture the mean and covariance of the Gaussian random variables of the nonlinear system Yi=F(Xi).Simulation results show that the posterior mean and covariance of the sigma points can achieve the accuracy of the third-order Taylor series expansion after having propagated through the true nonlinear system Yi=F(Xi).Extended Kalman filter(EKF)only can achieve the first-order accuracy.The computational complexity of UKF is the same level as that of EKF.UKF can yield better performance and higher accuracy than EKF.
- 为了在非线性、非高斯系统估计中获得更好的精度, 提出一种新的unscented卡尔曼滤波(UKF).采用确定性采样方法, 通过选择unscented变换中的参数α=0.85, β=2和l=0, 确定出2n+1个σ点, 使这些σ点完全符合非线性系统Yi=F(Xi)的高斯随机变量的均值和方差.仿真结果表明:σ点通过实际的非线性系统Yi=F(Xi)传递后, 其后验均值和协方差可以达到泰勒展开式的三阶精度, 广义卡尔曼滤波(EKF)只能达到一阶精度.该UKF滤波与EKF算法复杂度相近, 但具有比EKF更好的估计精度.
References:
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[9] van der Merwe R, Wan E A.The square-root unscented Kalman filter for state and parameter-estimation [A].In:Proceedings of the International Conference on Acoustics, Speech, and Signal Processing[C].Salt Lake City, Utah, 2001.3461-3464.
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Memo
- Memo:
- Biographies: Zhang Weiming(1969—), male, graduate;Zhang Yanhua(corresponding author), male, professor, zhangyh@sjtu.edu.cn.