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

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Author(s)

Detail(s)

Original languageEnglish
Article number6415995
Pages (from-to)229-232
Journal / PublicationIEEE Signal Processing Letters
Volume20
Issue number3
Online published21 Jan 2013
Publication statusPublished - Mar 2013
Externally publishedYes

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