Questions tagged [unscented-kalman-filter]

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How to Realize the Sigma Point Sampling Function in Unscented Kalman Filter?

Recently I'm learning the unscented kalman filter (UKF). When designing the unscented kalman filter, it involves a non-linear function to generate the sigma points and then use the system non-linear ...
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61 views

Is there a difference what measurement units use in covariance matrix

The R matrix in the Kalman filter contains measurement noise. Diagonal elements of the matrix is the power of standard deviation. Is there a difference what measurement unit to use for standard error ...
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1answer
139 views

Unscented Kalman Filter - Multiple Consecutive Measurement Updates

In trying to implement an Unscented Kalman Filter (UKF), I have come across the issue of what to do when my measurement signals come in at a different rate than my control inputs, which I use in the ...
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59 views

Can state covariance matrix in Unscented Kalman filter contain negative values?

On the one hand covariance matrix can't contain negative values by definition, but as far as state covariance matrix innovated by subtraction: $$\mathbf{P} = \bar{\mathbf P} - \mathbf K\mathbf P_{z}\...
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173 views

Unscented Kalman Filter - estimation of two parameters

I am working with Unscented Kalman Filter (UKF) in thermal modelling of a box. I have 3 state variables ($T$ temperature, heating $h_h$ and cooling rates $h_c$) in my model and I am observing just ...
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61 views

Implementing Kalman filter or extended or unscented with only position information

I am new to Kalman filter. Is it possible to use a Kalman filter with just the position information of the target? I am so confused with states and measurement.
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1answer
194 views

Is acceleration noise modelled differently in EKF and UKF Kalman Filters?

In a lecture on basic Kalman filter, I came across the following assumption about acceleration noise. Every component of the noise vector $\nu$ is itself a product of time and acceleration values. ...
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43 views

Which equation should I use to compute the Extended Kalman Filter?

Compute the Extended kalman filter can be done in several ways. The first one compute the convariance matrix $P(t)$ from the Riccati Equation: $$\dot{P} = F(t)P(t) + P(t)F^T(t) - P(t)H^T(t) R^{-1}H(...
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106 views

Check if I has right: Is this the Extended Kalman Filter

I have learn the Kalman-Buncy filter for the LQG controllers. I know that this is a signal processing forum and not robotics not math forum. But Extended Kalman Filters are daily discussed here. ...
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2answers
294 views

Explain the Adaptive Part of Adaptive Algorithms - Kalman Filter and Least Mean Square / Constant Modulus

General questions: Is the Kalman filter (they have used Unscented Kalman Filter) adaptive or not? Is the Unscented Kalman Filter used in the paper an adaptive algorithm? Adaptive algorithms such as ...
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1answer
120 views

Likelihood of Unscented Kalman filter

Short version: How to calculate a likelihood of Unscented Kalman filter? Long version: Likelihood for linear Kalman filter (KF) is: $$\mathcal{L} = \frac{1}{\sqrt{2\pi S}}\exp \left[-\frac{1}{2}\...
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Unable to understand how the paper simplifies the covariance matrix - Kalman filter

The paper Convergence Analysis of the Unscented Kalman Filter for Filtering Noisy Chaotic Signals presents the convergence analysis of Unscented Kalman Filter download http://www.eie.polyu.edu.hk/~...
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212 views

Conceptual Question on equalization technique in rayleigh fading channel based on a paper

Question Link http://www.raymaps.com/index.php/theoretical-ber-of-m-qam-in-rayleigh-fading/ gives theoretical expressions for BER in Rayleigh fading channel. Can I use the expression for 64-QAM in ...
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165 views

Making Unscented Kalman Filter Robust for Nonlinear Parameter Estimation Problems

So I have built code for an Unscented Kalman filter that can take any specified state and measurement dynamics. I have tested it on various linear problems and it works well, as expected. The main ...