Does the unscented Kalman filter converge faster than the extended Kalman filter? A counter example

Matthew Rhudy, Yu Gu, Marcello R. Napolitano

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

The relative effects of initialization error on the Extended and Unscented Kalman filters were investigated for an example scalar system. Analytical methods were applied in order to derive the conditions under which one filter outperformed the other in response to initial error. Some simulation results were presented to support the analytically derived results. For the considered example, the Extended Kalman filter was able to outperform the Unscented Kalman filter when the assumed initial state was greater in magnitude than the actual initial state, and vice versa. Additionally, cases with larger measurement noise demonstrated further performance advantage of the Extended Kalman Filter.

Original languageEnglish (US)
Title of host publicationAIAA Guidance, Navigation, and Control (GNC) Conference
StatePublished - Sep 16 2013
EventAIAA Guidance, Navigation, and Control (GNC) Conference - Boston, MA, United States
Duration: Aug 19 2013Aug 22 2013

Publication series

NameAIAA Guidance, Navigation, and Control (GNC) Conference

Other

OtherAIAA Guidance, Navigation, and Control (GNC) Conference
CountryUnited States
CityBoston, MA
Period8/19/138/22/13

Fingerprint

Extended Kalman filters
Kalman filters

All Science Journal Classification (ASJC) codes

  • Aerospace Engineering
  • Control and Systems Engineering
  • Electrical and Electronic Engineering

Cite this

Rhudy, M., Gu, Y., & Napolitano, M. R. (2013). Does the unscented Kalman filter converge faster than the extended Kalman filter? A counter example. In AIAA Guidance, Navigation, and Control (GNC) Conference (AIAA Guidance, Navigation, and Control (GNC) Conference).
Rhudy, Matthew ; Gu, Yu ; Napolitano, Marcello R. / Does the unscented Kalman filter converge faster than the extended Kalman filter? A counter example. AIAA Guidance, Navigation, and Control (GNC) Conference. 2013. (AIAA Guidance, Navigation, and Control (GNC) Conference).
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Rhudy, M, Gu, Y & Napolitano, MR 2013, Does the unscented Kalman filter converge faster than the extended Kalman filter? A counter example. in AIAA Guidance, Navigation, and Control (GNC) Conference. AIAA Guidance, Navigation, and Control (GNC) Conference, AIAA Guidance, Navigation, and Control (GNC) Conference, Boston, MA, United States, 8/19/13.

Does the unscented Kalman filter converge faster than the extended Kalman filter? A counter example. / Rhudy, Matthew; Gu, Yu; Napolitano, Marcello R.

AIAA Guidance, Navigation, and Control (GNC) Conference. 2013. (AIAA Guidance, Navigation, and Control (GNC) Conference).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Rhudy M, Gu Y, Napolitano MR. Does the unscented Kalman filter converge faster than the extended Kalman filter? A counter example. In AIAA Guidance, Navigation, and Control (GNC) Conference. 2013. (AIAA Guidance, Navigation, and Control (GNC) Conference).