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On Iterative Unscented Kalman Filter using Optimization
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Linköping University, The Institute of Technology. Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. Linköping University, Faculty of Science & Engineering. Linköping University.ORCID iD: 0000-0002-1971-4295
2019 (English)In: Proceedings of the 22nd International Conferenceon Information Fusion, 2019Conference paper, Published paper (Refereed)
Abstract [en]

The unscented Kalman filter (UKF) is a very popular solution for estimation of the state in nonlinear systems. Similar to the extended Kalman filter (EKF) and contrary to the Kalman filter (KF) for linear systems, the UKF provides no guarantees that the filter updates will improve the filtered state estimate. In the past, the iterated EKF (IEKF) has been suggested as a way to online monitor the filter performance and try to improve it using optimization techniques. In this paper we do the same for the UKF, deriving six iterated UKF (IUKF) variations based on two cost functions and three optimization algorithms. The methods are evaluated and compared to IEKF versions and to two versions of the iterative posterior linearization filter (IPLF) in three benchmark simulation studies. The results show that IUKF algorithms can be used as a derivative free alternative to IEKF, and provide insights about the different design choices available in IUKF algorithms.

Place, publisher, year, edition, pages
2019.
Keywords [en]
Extended Kalman filter (EKF); Unscented Kalman filter (UKF); state estimation
National Category
Control Engineering Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-158650OAI: oai:DiVA.org:liu-158650DiVA, id: diva2:1335682
Conference
22nd International Conferenceon Information Fusion, July 2-5, 2019
Projects
CENIIT 17:12Available from: 2019-07-06 Created: 2019-07-06 Last updated: 2019-07-06

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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  • Other style
More styles
Language
  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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