On Kalman Filtering With Nonlinear Equality Constraints

  • Authors:
  • S.J. Julier;J.J. LaViola

  • Affiliations:
  • Naval Res. Lab., Washington, DC;-

  • Venue:
  • IEEE Transactions on Signal Processing
  • Year:
  • 2007

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Abstract

The state space description of some physical systems possess nonlinear equality constraints between some state variables. In this paper, we consider the problem of applying a Kalman filter-type estimator in the presence of such constraints. We categorize previous approaches into pseudo-observation and projection methods and identify two types of constraints-those that act on the entire distribution and those that act on the mean of the distribution. We argue that the pseudo-observation approach enforces neither type of constraint and that the projection method enforces the first type of constraint only. We propose a new method that utilizes the projection method twice-once to constrain the entire distribution and once to constrain the statistics of the distribution. We illustrate these algorithms in a tracking system that uses unit quaternions to encode orientation