Unscented Kalman Filter-Based Unbiased Minimum-Variance Estimation for Nonlinear Systems With Unknown Inputs

This letter proposes an unscented Kalman filter (UKF)-based unbiased minimum-variance estimation (UMV) method for the nonlinear system with unknown inputs. By utilizing the statistical linearization, the nonlinear system and measurement functions are transformed into a "linear-like" regression form. The latter preserves the nonlinearity of the system and the measurement models. To this end, the unknown inputs can be estimated by the weighted least-squares. This "linear-like" regression form also allows us to resort to the UMV state estimation framework for the development of new nonlinear filter to handle unknown inputs. Specifically, two approaches have been developed: 1) given the estimated inputs, we derive a filter by minimizing the trace of the state error covariance matrix; 2) without input estimation, we derive the filter by minimizing the trace of the state error covariance matrix subject to a constraint imposed on the gain matrix. We prove that these two approaches provide the same results. Numerical results validate the effectiveness of the proposed method.