NDLI: Advanced square-root cubature Kalman filters based on singular value decomposition and sequential processing

Content Provider	IET Digital Library
Author	Li, Zhifei Zhang, Jianyun Wang, Jiegui Zhou, Qingsong
Abstract	Numerical accuracy of the cubature Kalman filter (CKF) is crucially degraded by the accumulated round-off errors. As a systematic solution to reduce the influence of round-off errors, the square-root filters are appealing. This study proposes a square-root CKF based on the singular value decomposition (SVD) approach to enhance the robustness against round-off errors. In addition, motivated by the impact of matrix inversion operation on the positive definiteness and symmetry of the error covariance matrix and numerical conditioning, the authors derive a sequential square-root CKF. The sequential CKF avoids matrix inversion operation involved in the original CKF and directly propagates square factor in each cycle step. The variation is a valid way to better preserve the positive definiteness and symmetry and numerical stability. To evaluate the proposed approaches, four numerical experiments are simulated. The results illustrate the numerical robustness and stability of the proposed approaches.
Starting Page	10
Ending Page	18
Page Count	9
ISSN	17518784
Volume Number	14
e-ISSN	17518792
Issue Number	Issue 1, Jan (2020)
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/iet-rsn/14/1
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/10.1049/iet-rsn.2019.0115
Journal	IET Radar, Sonar & Navigation
Publisher Date	2019-09-17
Access Restriction	Open
Rights Holder	© The Institution of Engineering and Technology
Subject Keyword	Advanced Square-root Cubature Kalman Algebra Covariance Matrices Cubature Kalman Filter Error Covariance Matrix Filtering Method in Signal Processing Kalman Filter Matrix Algebra Matrix Inversion Matrix Inversion Operation Numerical Accuracy Numerical Conditioning Numerical Experiments Numerical Robustness Numerical Stability Original CKF Positive Definiteness PropaGate Square Factor Sequential CKF Sequential Processing Sequential Square-root CKF Signal Processing Theory Singular Value Decomposition Singular Value Decomposition Approach Square-root Filter Statistics Systematic Solution
Content Type	Text
Resource Type	Article
Subject	Electrical and Electronic Engineering

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