Transformed cubature quadrature Kalman filter

• Published in: IET signal processing Vol. 11; no. 9; pp. 1095 - 1103
• Main Authors: Singh, Abhinoy Kumar, Bhaumik, Shovan
• Format: Journal Article
• Language: English
• Published: The Institution of Engineering and Technology 01.12.2017
• Subjects: approximation theory; CQ points; delayed measurement environment; higher order moments; HOM; intractable integral approximation; Kalman filters; nonlinear system; nonlinear systems; orthogonal transformation; Research Article; state estimation; transformed cubature quadrature Kalman filter; nonlinear systems; approximation theory; delayed measurement environment; HOM; orthogonal transformation; state estimation; transformed cubature quadrature Kalman filter; CQ points; intractable integral approximation; nonlinear system; higher order moments; Kalman filters
• ISSN: 1751-9675; 1751-9683; 1751-9683
• DOI: 10.1049/iet-spr.2017.0074

An orthogonal transformation is applied to the cubature quadrature (CQ) points which are used to approximate the intractable integrals appeared during the estimation of states of a non-linear system. With the help of a theorem, it is shown that the transformed points reduce the higher order moments (HOM) appeared while approximating the mean and covariance. As the HOM act as residue, the proposed method results in an improved filtering accuracy. Further, the proposition is extended in delayed measurement environment. The proposed method has been implemented for two different simulation problems. The simulation results reveal that at the same computational load, the filter with transformed CQ points provides higher accuracy compared with the filter with ordinary CQ points. The performance has been verified in the delayed measurement environment and an improved accuracy has been reported.