On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
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- 17 September 2007
- journal article
- research article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 52 (9), 1631-1641
- https://doi.org/10.1109/tac.2007.904453
Abstract
This paper considers the application of the unscented Kalman filter (UKF) to continuous-time filtering problems, where both the state and measurement processes are modeled as stochastic differential equations. The mean and covariance differential equations which result in the continuous-time limit of the UKF are derived. The continuous-discrete UKF is derived as a special case of the continuous-time filter, when the continuous-time prediction equations are combined with the update step of the discrete-time UKF. The filter equations are also transformed into sigma-point differential equations, which can be interpreted as matrix square root versions of the filter equations.Keywords
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