A Note on Unscented Filtering and State Propagation in Nonlinear Systems
Jonathan W. Kelly · 2008
In this note, we illustrate the eect of nonlinear state propagation in the unscented Kalman lter (UKF). We consider a simple nonlinear system, consisting of a two-axis inertial measurement unit. Our intent is to show that the propagation of a set of sigma points through a nonlinear process model in the UKF can produce a counterintuitive (but correct) updated state estimate. We compare the results from the UKF with those from the well-known extended Kalman lter (EKF), to highlight how the UKF and the EKF dier.