Sequence Unscented Kalman Filtering algorithm

Abstract

Unscented Kalman Filter (UKF) has been proved to be a superior alternative to the extended Kalman filter (EKF) when solving the nonlinear system in recent years. In order to improve the real-time of the UKF, A new kind of UKF called Sequence UKF is proposed in this paper. Like Rao-Blackwellised Unscented Kalman Filter (RBUKF) [4], it also deals with nonlinear stochastic discrete-time system with linear measurement equation, however it can decrease the computational complexity with the same filtering accuracy. This algorithm reduces the measurement vector to scalars in measurement-update of UKF by sequence method, so it can avoid inversing the covariance of measurement and reduce a great mount of computation bound. Special algorithm is deduced in this paper. The high performance of sequence UKF is verified by using Monte Carlo simulations.