An Adaptive Iterated Kalman Filter
Yong-An Zhang, Di Zhou, Guang‐Ren Duan · 2006
The recursive filtering of discrete-time nonlinear systems in the presence of unknown noise statistical parameters is studied. By embedding the modified Sage-Husa noise statistics estimator into the iterated Kalman filter, an adaptive iterated Kalman filter is obtained. With iterative operations as well as the online estimation of unknown covariance of virtual noise, linearized error can be reduced. As a result, the estimation performance is improved. A numerical example shows the effectiveness of the proposed filter.