Journal article
Discrete-Time Nonlinear Filtering Algorithms Using Gauss–Hermite Quadrature
Abstract
In this paper, a new version of the quadrature Kalman filter (QKF) is developed theoretically and tested experimentally. We first derive the new QKF for nonlinear systems with additive Gaussian noise by linearizing the process and measurement functions using statistical linear regression (SLR) through a set of Gauss-Hermite quadrature points that parameterize the Gaussian density. Moreover, we discuss how the new QKF can be extended and …
Authors
Arasaratnam I; Haykin S; Elliott RJ
Journal
Proceedings of the IEEE, Vol. 95, No. 5, pp. 953–977
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Publication Date
May 1, 2007
DOI
10.1109/jproc.2007.894705
ISSN
0018-9219