Double-Layer Cubature Kalman Filter for Nonlinear Estimation

The cubature Kalman filter (CKF) has poor performance in strongly nonlinear systems while the cubature particle filter has high computational complexity induced by stochastic sampling. To address these problems, a novel CKF named double-Layer cubature Kalman filter (DLCKF) is proposed. In the proposed DLCKF, the prior distribution is represented by a set of weighted deterministic sampling points, and each deterministic sampling point is updated by the inner CKF. Finally, the update mechanism of the outer CKF is used to obtain the state estimations. Simulation results show that the proposed algorithm has not only high estimation accuracy but also low computational complexity, compared with the state-of-the-art filtering algorithms.