TY - JOUR
T1 - Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter
AU - Wang, Shiyuan
AU - Feng, Jiuchao
AU - Tse, Chi K.
PY - 2013/3
Y1 - 2013/3
N2 - The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cramér-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems. © 1994-2012 IEEE.
AB - The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cramér-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems. © 1994-2012 IEEE.
KW - Cramér-Rao lower bound
KW - cubature Kalman filter
KW - Kalman gain
KW - Lyapunov exponent
UR - http://www.scopus.com/inward/record.url?scp=84873387071&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84873387071&origin=recordpage
U2 - 10.1109/LSP.2013.2241424
DO - 10.1109/LSP.2013.2241424
M3 - RGC 21 - Publication in refereed journal
SN - 1070-9908
VL - 20
SP - 229
EP - 232
JO - IEEE Signal Processing Letters
JF - IEEE Signal Processing Letters
IS - 3
M1 - 6415995
ER -