In order to resolve the state estimation problem of nonlinear/non-Gaussian systems, a new kind of quadrature Kalman particle filter （QKPF） is proposed. In this new algorithm, quadrature Kalman filter （QKF） is used...In order to resolve the state estimation problem of nonlinear/non-Gaussian systems, a new kind of quadrature Kalman particle filter （QKPF） is proposed. In this new algorithm, quadrature Kalman filter （QKF） is used for generating the impor- tance density function. It linearizes the nonlinear functions using statistical linear regression method through a set of Gaussian- Hermite quadrature points. It need not compute the Jacobian matrix and is easy to be implemented. Moreover, the importantce density function integrates the latest measurements into system state transition density, so the approximation to the system poste- rior density is improved. The theoretical analysis and experimen- tal results show that, compared with the unscented partcle filter （UPF）, the estimation accuracy of the new particle filter is improved almost by 18%, and its calculation cost is decreased a little. So, QKPF is an effective nonlinear filtering algorithm.展开更多
基金supported by the National Natural Science Foundation of China(60574033)
文摘In order to resolve the state estimation problem of nonlinear/non-Gaussian systems, a new kind of quadrature Kalman particle filter （QKPF） is proposed. In this new algorithm, quadrature Kalman filter （QKF） is used for generating the impor- tance density function. It linearizes the nonlinear functions using statistical linear regression method through a set of Gaussian- Hermite quadrature points. It need not compute the Jacobian matrix and is easy to be implemented. Moreover, the importantce density function integrates the latest measurements into system state transition density, so the approximation to the system poste- rior density is improved. The theoretical analysis and experimen- tal results show that, compared with the unscented partcle filter （UPF）, the estimation accuracy of the new particle filter is improved almost by 18%, and its calculation cost is decreased a little. So, QKPF is an effective nonlinear filtering algorithm.
