The unscented Kalman filter for nonlinear estimation

This paper points out the flaws in using the extended Kalman filter (EKE) and introduces an improvement, the unscented Kalman filter (UKF), proposed by Julier and Uhlman (1997). A central and vital operation performed in the Kalman filter is the propagation of a Gaussian random variable (GRV) through the system dynamics. In the EKF the state distribution is approximated by a GRV, which is then propagated analytically through the first-order linearization of the nonlinear system. This can introduce large errors in the true posterior mean and covariance of the transformed GRV, which may lead to sub-optimal performance and sometimes divergence of the filter. The UKF addresses this problem by using a deterministic…