Unscented Kalman Filter (UKF)Dr.Yuan-LiCaiSpring·2022
pink Unscented Kalman Filter (UKF) Dr. Yuan-Li Cai Spring • 2022
0.Outline13EKF算法回顾2UT变换310SUT 变换14UKF算法5UKF简化算法/186仿真算例23
0. Outline 1 EKF 算法回顾 / 3 2 UT 变换 / 7 3 SUT 变换 / 10 4 UKF 算法 / 14 5 UKF 简化算法 / 18 6 仿真算例 / 23
OUTLINEUnscentedKalmanFilter(UKF/ 28MATLAB code2/37Dr. Yuan-Li CaiXi'an Jiaotong University
OUTLINE Unscented Kalman Filter (UKF) 7 MATLAB code / 28 Dr. Yuan-Li Cai 2/37 Xi’an Jiaotong University
UnscentedKalmanFilter(UKFOUTLINE考虑如下非线性系统(1)ak+1 = f(ck,Wk,k)(2)yk = h(Ck, k) + Uk其中,kERn,kERm,wER,ERm。此外,E[w]=0,E[]=0E[wkwf]=Qkokj,E[uruf]=Rokj,E[wkuf] =0,Vk,j。3/37Dr. Yuan-Li CaiXi'an Jiaotong University
OUTLINE Unscented Kalman Filter (UKF) 考虑如下非线性系统： xk+1 = f(xk, wk, k) (1) yk = h(xk, k) + vk (2) 其中，xk ∈ Rn，yk ∈ Rm，wk ∈ Rq，vk ∈ Rm。此外，E[wk] = 0，E[vk] = 0， E[wkw T j ] = Qkδkj，E[vkv T j ] = Rkδkj，E[wkv T j ] = 0，∀k, j。 Dr. Yuan-Li Cai 3/37 Xi’an Jiaotong University
UnscentedKalman Filter (UKFEKF算法回顾11.EKF算法回顾简记，Pe= PkJk=k-1,P=Pk-1Po = var(ro)(1)初始化：o=Ero，4/37Dr. Yuan-Li CaiXi'an Jiaotong University
1 EKF 算法回顾 Unscented Kalman Filter (UKF) 1. EKF 算法回顾 简记 xˆk = ˆxk|k, Pk = Pk|k xˆ − k = ˆxk|k−1, P − k = Pk|k−1 (1) 初始化：xˆ0 = Ex0, P0 = var(x0) Dr. Yuan-Li Cai 4/37 Xi’an Jiaotong University