A Novel Extended Unscented Kalman Filter Is Designed Using the Higher-Order Statistical Property of the Approximate Error of the System Model

Abstract

In the actual working environment, most equipment models present nonlinear characteristics. For nonlinear system filtering, filtering methods such as the Extended Kalman Filter (EKF), Unscented Kalman Filter (UKF), and Cubature Kalman Filter (CKF) have been developed successively, all of which show good results. However, in the process of nonlinear system filtering, the performance of EKF decreases with an increase in the truncation error and even diverges. With improvement of the system dimension, the sampling points of UKF are relatively few and unrepresentative. In this paper, a novel high-order extended Unscented Kalman Filter (HUKF) based on an Unscented Kalman Filter is designed using the higher-order statistical properties of the approximate error. In addition, a method for calculating the approximate error of the multi-level approximation of the original function under the condition that the measurement is not rank-satisfied is proposed. The effectiveness of the filter is verified using digital simulation experiments.