Reduced-Order Covariance-Based Unscented Kalman Filtering with Complementary Steady-State Correlation
J. Chandrasekar, I. S. Kim, A. J. Ridley, Dennis S. Bernstein · Proceedings of the ... American Control Conference/Proceedings of the American Control Conference · 2007
In this paper, we discuss an extension of the unscented Kalman filter that propagates a surrogate reduced- order covariance and also uses a complementary static estimator gain based on the steady-state correlation between the error in the estimates of the state and measurements to obtain estimates of the entire state.