A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive Noise

The Kalman filter (KF), extended KF, and unscented KF all lack a self-adaptive capacity to deal with system noise. This paper describes a new adaptive filtering approach for nonlinear systems with additive noise. Based on the square-root unscented KF (SRUKF), traditional Maybeck’s estimator is modif...

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Main Authors: Yong Zhou, Chao Zhang, Yufeng Zhang, Juzhong Zhang
Format: Article
Language:English
Published: Wiley 2015-01-01
Series:International Journal of Aerospace Engineering
Online Access:http://dx.doi.org/10.1155/2015/381478
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author Yong Zhou
Chao Zhang
Yufeng Zhang
Juzhong Zhang
author_facet Yong Zhou
Chao Zhang
Yufeng Zhang
Juzhong Zhang
author_sort Yong Zhou
collection DOAJ
description The Kalman filter (KF), extended KF, and unscented KF all lack a self-adaptive capacity to deal with system noise. This paper describes a new adaptive filtering approach for nonlinear systems with additive noise. Based on the square-root unscented KF (SRUKF), traditional Maybeck’s estimator is modified and extended to nonlinear systems. The square root of the process noise covariance matrix Q or that of the measurement noise covariance matrix R is estimated straightforwardly. Because positive semidefiniteness of Q or R is guaranteed, several shortcomings of traditional Maybeck’s algorithm are overcome. Thus, the stability and accuracy of the filter are greatly improved. In addition, based on three different nonlinear systems, a new adaptive filtering technique is described in detail. Specifically, simulation results are presented, where the new filter was applied to a highly nonlinear model (i.e., the univariate nonstationary growth model (UNGM)). The UNGM is compared with the standard SRUKF to demonstrate its superior filtering performance. The adaptive SRUKF (ASRUKF) algorithm can complete direct recursion and calculate the square roots of the variance matrixes of the system state and noise, which ensures the symmetry and nonnegative definiteness of the matrixes and greatly improves the accuracy, stability, and self-adaptability of the filter.
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language English
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series International Journal of Aerospace Engineering
spelling doaj-art-20e39211f23c4ce2bb204b09ac4f5d042025-02-03T01:31:45ZengWileyInternational Journal of Aerospace Engineering1687-59661687-59742015-01-01201510.1155/2015/381478381478A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive NoiseYong Zhou0Chao Zhang1Yufeng Zhang2Juzhong Zhang3School of Aeronautics, Northwestern Polytechnical University, Xi’an 710072, ChinaSchool of Aeronautics, Northwestern Polytechnical University, Xi’an 710072, ChinaSchool of Electrical and Control Engineering, Xi’an University of Science & Technology, Xi’an 710054, China713th Institute of China Shipbuilding Industry Corporation, Zhengzhou 450002, ChinaThe Kalman filter (KF), extended KF, and unscented KF all lack a self-adaptive capacity to deal with system noise. This paper describes a new adaptive filtering approach for nonlinear systems with additive noise. Based on the square-root unscented KF (SRUKF), traditional Maybeck’s estimator is modified and extended to nonlinear systems. The square root of the process noise covariance matrix Q or that of the measurement noise covariance matrix R is estimated straightforwardly. Because positive semidefiniteness of Q or R is guaranteed, several shortcomings of traditional Maybeck’s algorithm are overcome. Thus, the stability and accuracy of the filter are greatly improved. In addition, based on three different nonlinear systems, a new adaptive filtering technique is described in detail. Specifically, simulation results are presented, where the new filter was applied to a highly nonlinear model (i.e., the univariate nonstationary growth model (UNGM)). The UNGM is compared with the standard SRUKF to demonstrate its superior filtering performance. The adaptive SRUKF (ASRUKF) algorithm can complete direct recursion and calculate the square roots of the variance matrixes of the system state and noise, which ensures the symmetry and nonnegative definiteness of the matrixes and greatly improves the accuracy, stability, and self-adaptability of the filter.http://dx.doi.org/10.1155/2015/381478
spellingShingle Yong Zhou
Chao Zhang
Yufeng Zhang
Juzhong Zhang
A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive Noise
International Journal of Aerospace Engineering
title A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive Noise
title_full A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive Noise
title_fullStr A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive Noise
title_full_unstemmed A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive Noise
title_short A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive Noise
title_sort new adaptive square root unscented kalman filter for nonlinear systems with additive noise
url http://dx.doi.org/10.1155/2015/381478
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