Abstract:

A new method of unscented extended Kalman filter
(UEKF) for nonlinear system is presented. This new method is
a combination of the unscented transformation and the extended
Kalman filter (EKF). The extended Kalman filter is similar to that in
a conventional EKF. However, in every running step of the EKF the
unscented transformation is running, the deterministic sample is
caught by unscented transformation, then posterior mean of nonlinearity
is caught by propagating, but the posterior covariance of
nonlinearity is caught by linearizing. The accuracy of new method
is a little better than that of the unscented Kalman filter (UKF),
however, the computational time of the UEKF is much less than
that of the UKF.