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Square‐Root Cubature‐Quadrature K alman Filter
Author(s) -
Bhaumik Shovan
Publication year - 2014
Publication title -
asian journal of control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.769
H-Index - 53
eISSN - 1934-6093
pISSN - 1561-8625
DOI - 10.1002/asjc.704
Subject(s) - square root , quadrature (astronomy) , mathematics , filter (signal processing) , square (algebra) , algorithm , mathematical analysis , computer science , physics , geometry , optics , computer vision
In this paper, an on‐going work introducing square‐root extension of cubature‐quadrature based K alman filter is reported. The proposed method is named square‐root cubature‐quadrature K alman filter ( SR‐CQKF ). Unlike ordinary cubature‐quadrature K alman filter ( CQKF ), the proposed method propagates and updates square‐root of the error covariance without performing C holesky decomposition at each step. Moreover SR‐CQKF ensures positive semi‐definiteness of the state covariance matrix. With the help of two examples we show the superior performance of SR‐CQKF compared to EKF and square root cubature K alman filter.