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An Efficient Implementation of the Second Order Extended Kalman Filter
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2011 (English)In: Proceedings of the 14th International Conference on Information Fusion (FUSION), 2011, IEEE , 2011Conference paper, Published paper (Refereed)
Abstract [en]

The second order extended Kalman filter (EKF2) is based on a second order Taylor expansion of a nonlinear system, in contrast to the more common (first order) extended Kalman filter (EKF1). Despite a solid theoretical ground for its approximation, it is seldom used in applications, where the EKF and the unscented Kalman filter (UKF) are the standard algorithms. One reason for this might be the requirement for analytical Jacobian and Hessian of the system equations, and the high complexity that scales with the state order $n_x$ as $n_x^5$. We propose a numerical algorithm which is based on an extended set of sigma points (compared to the UKF) that needs neither Jacobian nor Hessian (or numerical approximations of these). Further, it scales as $n_x^4$, which is an order of magnitude better than the EKF2 algorithm presented in literature.

Place, publisher, year, edition, pages
IEEE , 2011.
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-76046ISBN: 978-1-4577-0267-9 (print)OAI: oai:DiVA.org:liu-76046DiVA: diva2:511843
Conference
14th International Conference on Information Fusion, 5-8 July 2011, Chicago
Projects
MC Impulse
Funder
EU, FP7, Seventh Framework Programme, 238710
Available from: 2012-03-23 Created: 2012-03-23 Last updated: 2013-02-19

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Authority records BETA

Roth, MichaelGustafsson, Fredrik

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