{"title":"Cubature Kalman filters for continuous-time dynamic models Part II: A solution based on moment matching","authors":"D. Crouse","doi":"10.1109/RADAR.2014.6875583","DOIUrl":null,"url":null,"abstract":"High-order deterministic Runge-Kutta methods are often used to predict forward continuous-time nonlinear differential equations describing physical systems. However, the stochastic nature of dynamic models in practical systems necessitates other methods for propagating forward the uncertain probability density function of a target state over time. This paper presents a variant of the cubature Kalman filter for nonlinear continuous-time dynamic models that uses a moment matching technique to predict forward the target state and covariance matrix. In this formulation, deterministic Runge-Kutta algorithms can be used for state prediction. Unlike previous work, the formulation presented is derived to handle non-additive process noise.","PeriodicalId":127690,"journal":{"name":"2014 IEEE Radar Conference","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2014-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2014 IEEE Radar Conference","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/RADAR.2014.6875583","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 7
Abstract
High-order deterministic Runge-Kutta methods are often used to predict forward continuous-time nonlinear differential equations describing physical systems. However, the stochastic nature of dynamic models in practical systems necessitates other methods for propagating forward the uncertain probability density function of a target state over time. This paper presents a variant of the cubature Kalman filter for nonlinear continuous-time dynamic models that uses a moment matching technique to predict forward the target state and covariance matrix. In this formulation, deterministic Runge-Kutta algorithms can be used for state prediction. Unlike previous work, the formulation presented is derived to handle non-additive process noise.