Convergence analysis of cubature Kalman filter

Abstract

This paper investigates the stability analysis of cubature Kalman filter (CKF) for nonlinear systems with linear measurement. The certain conditions to ensure that the estimation error of CKF remains bounded are proved. Then, the effect of process noise covariance is investigated and an adaptive process noise covariance is proposed to deal with large estimation error. Accordingly, a modified CKF (MCKF) is developed to enhance the stability and accuracy of state estimation. The performance of the MCKF is compared to the CKF by two case studies. Simulation results demonstrate that the large estimation error may lead to instability of CKF while the MCKF is successfully able to estimate the states.