MATLAB-based general approach for square-root extended-unscented and fifth-degree cubature Kalman filtering methods (2312.02846v1)

Abstract: A stable square-root approach has been recently proposed for the unscented Kalman filter (UKF) and fifth-degree cubature Kalman filter (5D-CKF) as well as for the mixed-type methods consisting of the extended Kalman filter (EKF) time update and the UKF/5D-CKF measurement update steps. The mixed-type estimators provide a good balance in trading between estimation accuracy and computational demand because of the EKF moment differential equations involved. The key benefit is a consolidation of reliable state mean and error covariance propagation by using delicate discretization error control while solving the EKF moment differential equations and an accurate measurement update according to the advanced UKF and/or 5D-CKF filtering strategies. Meanwhile the drawback of the previously proposed estimators is an utilization of sophisticated numerical integration scheme with the built-in discretization error control that is, in fact, a complicated and computationally costly tool. In contrast, we design here the mixed-type methods that keep the same estimation quality but reduce a computational time significantly. The novel estimators elegantly utilize any MATLAB-based numerical integration scheme developed for solving ordinary differential equations (ODEs) with the required accuracy tolerance pre-defined by users. In summary, a simplicity of the suggested estimators, their numerical robustness with respect to roundoff due to the square-root form utilized as well as their estimation accuracy due to the MATLAB ODEs solvers with discretization error control involved are the attractive features of the novel estimators. The numerical experiments are provided for illustrating a performance of the suggested methods in comparison with the existing ones.