A new unscented particle filter
Qi Cheng, Pascal Bondon · IEEE International Conference on Acoustics Speech and Signal Processing · 2008
We present a new unscented particle filter for dynamic systems that outperforms the general particle filter and the unscented particle filter when the variance of the observation noise is small. Our algorithm uses a bank of unscented Kalman filters to refine the prediction in particle filter. The key difference with the traditional unscented particle filter is the introduction of an auxiliary model and a bank of unscented Kalman filter with this auxiliary model to generate the importance distribution in the particle filter. This structure makes efficient use of the latest observation information. Our new algorithm use fewer particles than the general particle filters and its performance outperforms them.