High-degree cubature Kalman filter

  • Authors:

  • Bin Jia;Ming Xin;Yang Cheng

  • Affiliations:

  • Department of Electrical Engineering, Columbia University, New York, NY 10027, USA;Department of Aerospace Engineering, Mississippi State University, Starkville, MS 39762, USA;Department of Aerospace Engineering, Mississippi State University, Starkville, MS 39762, USA

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 2013

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Abstract

The cubature Kalman filter (CKF), which is based on the third degree spherical-radial cubature rule, is numerically more stable than the unscented Kalman filter (UKF) but less accurate than the Gauss-Hermite quadrature filter (GHQF). To improve the performance of the CKF, a new class of CKFs with arbitrary degrees of accuracy in computing the spherical and radial integrals is proposed. The third-degree CKF is a special case of the class. The high-degree CKFs of the class can achieve the accuracy and stability performances close to those of the GHQF but at lower computational cost. A numerical integration problem and a target tracking problem are utilized to demonstrate the necessity of using the high-degree cubature rules to improve the performance. The target tracking simulation shows that the fifth-degree CKF can achieve higher accuracy than the extended Kalman filter, the UKF, the third-degree CKF, and the particle filter, and is computationally much more efficient than the GHQF.