An efficient non-linear Kalman filtering algorithm using simultaneous perturbation and applications in traffic estimation and prediction

@article{Antoniou2007AnEN,
  title={An efficient non-linear Kalman filtering algorithm using simultaneous perturbation and applications in traffic estimation and prediction},
  author={Constantinos Antoniou and H. N. Koutsopoulos and George Yannis},
  journal={2007 IEEE Intelligent Transportation Systems Conference},
  year={2007},
  pages={217-222}
}
The extended Kalman filter, a well-established and straightforward extension of the Kalman filter, requires a computationally intensive linearization step. In this paper, the use of the simultaneous perturbation is proposed for the computation of the gradient in a far more efficient way than the usual numerical derivatives. The resulting algorithm is applied to the problem of on-line calibration of traffic dynamics models and empirical results are presented. The use of the simultaneous… CONTINUE READING