Comments on “Performance evaluation of UKF-based nonlinear filtering”. (English) Zbl 1137.93417
Summary: This note points out that the main result of the paper [K. Xiong, H. Y. Zhang and C. W. Chan, Automatica 42, No. 2, 261–270 (2006; Zbl 1103.93045)] can be extended to a class of so-called Gaussian filters. It justifies a practical countermeasure of the divergence, i.e., adding small quantities to the noise covariance matrix to stabilize the filter.
MSC:
| 93E11 | Filtering in stochastic control theory |
| 93E15 | Stochastic stability in control theory |
| 93C55 | Discrete-time control/observation systems |
Citations:
Zbl 1103.93045References:
| [1] | Boutayeb, M.; Aubry, D., A strong tracking extended Kalman observer for nonlinear discrete-time systems, IEEE Transactions on Automatic Control, 44, 8, 1550-1556 (1999) · Zbl 0957.93086 |
| [2] | Boutayeb, M.; Rafaralahy, H.; Darouach, M., Convergence analysis of the extended Kalman filter used as observer for nonlinear deterministic discrete-time systems, IEEE Transactions on Automatic Control, 42, 4, 581-586 (1997) · Zbl 0876.93089 |
| [3] | Brown, R. G., Introduction to random signal analysis and Kalman filtering (1983), Wiley: Wiley New York |
| [4] | Ito, K.; Xiong, K. Q., Gaussian filters for nonlinear filtering problems, IEEE Transactions on Automatic Control, 45, 5, 910-927 (2000) · Zbl 0976.93079 |
| [5] | Norgaard, M.; Poulsen, N. K.; Ravn, O., New developments in state estimation for nonlinear systems, Automatica, 36, 11, 1627-1638 (2000) · Zbl 0973.93050 |
| [6] | Wu, Y.; Hu, D.; Wu, M.; Hu, X., A numerical-integration perspective on Gaussian filters, IEEE Transactions on Signal Processing, 56, 8, 2910-2921 (2006) · Zbl 1388.65025 |
| [7] | Xiong, K.; Zhang, H. Y.; Chan, C. W., Performance evaluation of UKF-based nonlinear filtering, Automatica, 42, 2, 261-270 (2006) · Zbl 1103.93045 |
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.
