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Nonlinear Kalman Filters Explained: A Tutorial on Moment Computations and Sigma Point Methods
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.ORCID iD: 0000-0002-1971-4295
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
2016 (English)In: Journal of Advances in Information Fusion, ISSN 1557-6418, Vol. 11, no 1, 47-70 p.Article in journal (Refereed) Published
Abstract [en]

Nonlinear Kalman filters are algorithms that approximately solve the Bayesian filtering problem by employing the measurement update of the linear Kalman filter (KF). Numerous variants have been developed over the past decades, perhaps most importantly the popular sampling based sigma point Kalman filters.In order to make the vast literature accessible, we present nonlinear KF variants in a common framework that highlights the computation of mean values and covariance matrices as the main challenge. The way in which these moment integrals are approximated distinguishes, for example, the unscented KF from the divided difference KF.With the KF framework in mind, a moment computation problem is defined and analyzed. It is shown how structural properties can be exploited to simplify its solution. Established moment computation methods, and their basics and extensions, are discussed in an extensive survey. The focus is on the sampling based rules that are used in sigma point KF. More specifically, we present three categories of methods that use sigma-points 1) to represent a distribution (as in the UKF); 2) for numerical integration (as in Gauss-Hermite quadrature); 3) to approximate nonlinear functions (as in interpolation). Prospective benefits and downsides are listed for each of the categories and methods, including accuracy statements. Furthermore, the related KF publications are listed.The theoretical discussion is complemented with a comparative simulation study on instructive examples.

Place, publisher, year, edition, pages
International society of information fusion , 2016. Vol. 11, no 1, 47-70 p.
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-129231OAI: oai:DiVA.org:liu-129231DiVA: diva2:936621
Available from: 2016-06-14 Created: 2016-06-14 Last updated: 2016-06-21Bibliographically approved

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Roth, MichaelHendeby, GustafGustafsson, Fredrik
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Automatic ControlFaculty of Science & Engineering
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