On the convergence of the unscented Kalman filter. (January 2021)

• Record Type: Journal Article
• Authors: Daid, Assia; Busvelle, Eric; Aidene, Mohamed
• Is Part Of: European journal of control. Volume 57(2021)
• Page Start: 125
• Page End: 134
• Publication Date: 2021-01
• Subjects: Nonlinear observers -- Unscented Kalman filter -- Unscented Kalman observer; Control theory -- Periodicals; Automatic control -- Periodicals; Automatic control -- Mathematics -- Periodicals; Electronic journals; 629.805
• DOI: 10.1016/j.ejcon.2020.05.003
• Languages: English
• ISSNs: 0947-3580

Abstract

Abstract: 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 non-linear 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.