Performance evaluation of UKF-based nonlinear filtering

被引：423

作者：

Xiong, K ^{[1
]}

Zhang, HY

Chan, CW

机构：

[1] Beihang Univ, Sch Automat Sci & Elect Engn, Beijing 100083, Peoples R China

[2] Univ Hong Kong, Dept Mech Engn, Hong Kong, Hong Kong, Peoples R China

来源：

AUTOMATICA | 2006年 / 42卷 / 02期

基金：

中国国家自然科学基金;

关键词：

nonlinear systems; stochastic systems; extended Kalman filter; unscented Kalman filter; stability;

D O I：

10.1016/j.automatica.2005.10.004

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The performance of the modified unscented Kalman filter (UKF) for nonlinear stochastic discrete-time system with linear measurement equation is investigated. It is proved that under certain conditions, the estimation error of the UKF remains bounded. Furthermore, it is shown that the design of noise covariance matrix plays an important role in improving the stability of the algorithm. Error behavior of the UKF is then derived in terms of mean square error (MSE), and the Cramer-Rao lower bound (CRLB) is introduced as a performance measure. The modified UKF is found to approach the CRLB if the difference between the real noise covariance matrix and the selected one is small enough. These results are verified by using Monte Carlo simulations on two example systems. (c) 2005 Elsevier Ltd. All rights reserved.

引用

页码：261 / 270

页数：10

共 26 条

[1] ALMOST SURE BOUNDEDNESS OF RANDOMLY SAMPLED SYSTEMS [J].

AGNIEL, RG ;

JURY, EI .

SIAM JOURNAL ON CONTROL, 1971, 9 (03) :372-&

[2] NONLINEAR BAYESIAN ESTIMATION USING GAUSSIAN SUM APPROXIMATIONS [J].

ALSPACH, DL ;

SORENSON, HW .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1972, AC17 (04) :439-&

[3] A tutorial on particle filters for online nonlinear/non-Gaussian Bayesian tracking [J].

Arulampalam, MS ;

Maskell, S ;

Gordon, N ;

Clapp, T .

IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2002, 50 (02) :174-188

[4] Convergence analysis of the extended Kalman filter used as an observer for nonlinear deterministic discrete-time systems [J].

Boutayeb, M ;

Rafaralahy, H ;

Darouach, M .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1997, 42 (04) :581-586

[5] A strong tracking extended Kalman observer for nonlinear discrete-time systems [J].

Boutayeb, M ;

Aubry, D .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1999, 44 (08) :1550-1556

[6] Nonlinear multiuser parameter estimation and tracking in CDMA systems [J].

Caffery, J ;

Stüber, GL .

IEEE TRANSACTIONS ON COMMUNICATIONS, 2000, 48 (12) :2053-2063

[7] Tracking a ballistic target: Comparison of several nonlinear filters [J].

Farina, A ;

Ristic, B ;

Benvenuti, D .

IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS, 2002, 38 (03) :854-867

[8]

Gobbo DD, 2001, IEEE T CONTR SYST T, V9, P376, DOI DOI 10.1109/87.911389

[9]

Goodwin G C., 1984, ADAPTIVE FILTERING P

[10] NOVEL-APPROACH TO NONLINEAR NON-GAUSSIAN BAYESIAN STATE ESTIMATION [J].

GORDON, NJ ;

SALMOND, DJ ;

SMITH, AFM .

IEE PROCEEDINGS-F RADAR AND SIGNAL PROCESSING, 1993, 140 (02) :107-113

← 1 2 3 →