On the convergence of the unscented Kalman filter. (English) Zbl 1455.93195
Summary: A convergence analysis of the modified unscented Kalman filter (UKF), used as an observer for a class of nonlinear deterministic continuous time systems, is presented. Under certain conditions, the extended Kalman filter (EKF) is an exponential observer for nonlinear systems, i.e., the dynamics of the estimation error is exponentially stable. It is shown that unlike the EKF, the UKF is not an exponentially converging observer. A modification of the UKF – the unscented Kalman observer – is proposed, which is a better candidate for an observer. This paper is a first step towards a proof of the global convergence of the high-gain version of the UKO.
MSC:
| 93E11 | Filtering in stochastic control theory |
| 93B53 | Observers |
| 93C10 | Nonlinear systems in control theory |
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