Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter

Shiyuan Wang; Jiuchao Feng; Chi K. Tse

doi:10.1109/LSP.2013.2241424

Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter

Shiyuan Wang, Jiuchao Feng, Chi K. Tse

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

24 Citations (Scopus)

Abstract

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.

Original language	English
Article number	6415995
Pages (from-to)	229-232
Journal	IEEE Signal Processing Letters
Volume	20
Issue number	3
Online published	21 Jan 2013
DOIs	https://doi.org/10.1109/LSP.2013.2241424
Publication status	Published - Mar 2013
Externally published	Yes

Research Keywords

Cramér-Rao lower bound
cubature Kalman filter
Kalman gain
Lyapunov exponent

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10.1109/LSP.2013.2241424

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title = "Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter",

abstract = "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 Cram{\'e}r-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. {\textcopyright} 1994-2012 IEEE.",

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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

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DO - 10.1109/LSP.2013.2241424

M3 - RGC 21 - Publication in refereed journal

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SP - 229

EP - 232

JO - IEEE Signal Processing Letters

JF - IEEE Signal Processing Letters

IS - 3

M1 - 6415995

ER -

Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter

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Research Keywords

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