数学
算法
奇异值分解
卡尔曼滤波器
应用数学
集合卡尔曼滤波器
计算机科学
滤波器(信号处理)
过滤问题
奇异值
扩展卡尔曼滤波器
矩阵分解
控制理论(社会学)
趋同(经济学)
协方差
协方差矩阵
基质(化学分析)
自适应滤波器
作者
Zhifei Li,Jianyun Zhang,Jiegui Wang,Qingsong Zhou
标识
DOI:10.1049/iet-rsn.2019.0115
摘要
Numerical accuracy of the cubature Kalman filter (CKF) is crucially degraded by the accumulated round-off errors. As a systematic solution to reduce the influence of round-off errors, the square-root filters are appealing. This study proposes a square-root CKF based on the singular value decomposition (SVD) approach to enhance the robustness against round-off errors. In addition, motivated by the impact of matrix inversion operation on the positive definiteness and symmetry of the error covariance matrix and numerical conditioning, the authors derive a sequential square-root CKF. The sequential CKF avoids matrix inversion operation involved in the original CKF and directly propagates square factor in each cycle step. The variation is a valid way to better preserve the positive definiteness and symmetry and numerical stability. To evaluate the proposed approaches, four numerical experiments are simulated. The results illustrate the numerical robustness and stability of the proposed approaches.
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