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The extended Kalman filter has been shown to be a precise method for nonlinear state estimation and is the facto standard in navigation systems. However, if the initial estimated state is far from the true one, the filter may diverge, mainly due to an inconsistent linearization. Moreover, interval filters guarantee a robust and reliable, yet unprecise and discontinuous localization. This paper proposes to choose a point estimated by an interval method, as a linearization point of the extended Kalman filter. We will show that this combination allows us to get a higher level of integrity of the extended Kalman filter.

Interval Extended Kalman Filter—Application to Underwater Localization and Control