Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Detail(s)
Original language | English |
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Article number | 6415995 |
Pages (from-to) | 229-232 |
Journal / Publication | IEEE Signal Processing Letters |
Volume | 20 |
Issue number | 3 |
Online published | 21 Jan 2013 |
Publication status | Published - Mar 2013 |
Externally published | Yes |
Link(s)
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.
Research Area(s)
- Cramér-Rao lower bound, cubature Kalman filter, Kalman gain, Lyapunov exponent
Citation Format(s)
Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter. / Wang, Shiyuan; Feng, Jiuchao; Tse, Chi K.
In: IEEE Signal Processing Letters, Vol. 20, No. 3, 6415995, 03.2013, p. 229-232.
In: IEEE Signal Processing Letters, Vol. 20, No. 3, 6415995, 03.2013, p. 229-232.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review