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Unscented Kalman Filter Tutorial

Unscented Kalman Filter TutorialGabriel A. TerejanuDepartment of Computer Science and EngineeringUniversity at Buffalo, Buffalo, NY IntroductionThe Unscented Kalman Filter belongs to a bigger class of filters calledSigma-Point Kalman FiltersorLinear Regression Kalman Filters, which are using thestatistical linearizationtechnique[1,5]. This technique is used to linearize a nonlinear function of a random variable through a linearregression betweennpoints drawn from the prior distribution of the random variable. Since we areconsidering the spread of the random variable the techniquetends to be more accurate than Taylorseries linearization [7].In the same family of filters we have The Central Difference Kalman Filter , The Divided Differ-ence Filter , and also the Square-Root alternatives for UKF and CDKF [7].

1 Introduction The Unscented Kalman Filter belongs to a bigger class of filters called Sigma-Point Kalman Filters or Linear Regression Kalman Filters, which are using the statistical linearization technique [1, 5]. This technique is used to linearize a nonlinear function of a random variable through a linear

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