TY - GEN

T1 - Conjugate unscented transform and its application to filtering and stochastic integral calculation

AU - Adurthi, Nagavenkat

AU - Singla, Puneet

AU - Singh, Tarunraj

N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.

PY - 2012

Y1 - 2012

N2 - This paper presents the development of cubature rules with reduced number of points that are capable of evaluating multi dimensional expectation integrals with respect to a Gaussian pdf. Alternatively this can be considered as an extension to the conventional 3rd order unscented transformation by satisfying higher order moment constraint equations. New sets of sigma points are defined to satisfy moment equations up to order 8. The proposed sigma points are shown to be efficient in terms of exactness while integrating polynomials and yet just employ a small fraction of the number of points used by the traditional Gaussian-Hermite Product rule. In the perspective of non-linear filtering, with an aide of a typical air traffic scenario, the new set of sigma points have been shown to provide a significant advantage in terms of accuracy and reduced computational complexity, thus providing a promising on-line execution.

AB - This paper presents the development of cubature rules with reduced number of points that are capable of evaluating multi dimensional expectation integrals with respect to a Gaussian pdf. Alternatively this can be considered as an extension to the conventional 3rd order unscented transformation by satisfying higher order moment constraint equations. New sets of sigma points are defined to satisfy moment equations up to order 8. The proposed sigma points are shown to be efficient in terms of exactness while integrating polynomials and yet just employ a small fraction of the number of points used by the traditional Gaussian-Hermite Product rule. In the perspective of non-linear filtering, with an aide of a typical air traffic scenario, the new set of sigma points have been shown to provide a significant advantage in terms of accuracy and reduced computational complexity, thus providing a promising on-line execution.

UR - http://www.scopus.com/inward/record.url?scp=84880610056&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84880610056&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:84880610056

SN - 9781600869389

T3 - AIAA Guidance, Navigation, and Control Conference 2012

BT - AIAA Guidance, Navigation, and Control Conference 2012

T2 - AIAA Guidance, Navigation, and Control Conference 2012

Y2 - 13 August 2012 through 16 August 2012

ER -