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New Extension of the Kalman Filter to Nonlinear Systems

Authors: Simon J. Julier, Jeffrey K. Uhlmann

Published: 1997 (Conference Paper)

Source: SPIE Proceedings

Algorithm: UKF

DOI: 10.1117/12.280797

Summary

Introduces the Unscented Kalman Filter (UKF), which propagates a small set of deterministically chosen sigma points through the nonlinear dynamics to capture mean and covariance to third order. Outperforms the Extended Kalman Filter (EKF) for most nonlinear estimation problems without requiring Jacobian computations. The original UKF paper.

Abstract

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Paper doi.org

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DOI 10.1117/12.280797

Tags

  • Unscented Kalman filter

  • Nonlinear estimation

  • State estimation

  • Kalman filter

  • Sigma points

  • UKF