A spline filter for multidimensional nonlinear state estimation

The problem of nonlinear/non-Gaussian filtering has generated significant interest in the literature. The effectiveness of a nonlinear/non-Gaussian filtering algorithm depends on the accurate representation of the probability density function of the system state. The Extended Kalman Filter (EKF), the Approximate Grid Based methods (AGBM), and particle based filters have been developed to solve nonlinear/non-Gaussian problems. However, the EKF …