Unscented Kalman Filter: Aspects and Adaptive Setting of Scaling Parameter
Jindřich Duník, Miroslav Ŝimandl, Ondřej Straka · IEEE Transactions on Automatic Control · 2012
This technical note deals with the unscented Kalman filter for state estimation of nonlinear stochastic dynamic systems with a special focus on the scaling parameter of the filter. Its standard choice is analyzed and its impact on the estimation quality is discussed. On the basis of the analysis, a novel method for adaptive setting of the parameter in the unscented Kalman filter is proposed. The results are illustrated in a numerical example.