On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems

@article{Srkk2007OnUK,
  title={On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems},
  author={S. S{\"a}rkk{\"a}},
  journal={IEEE Trans. Autom. Control.},
  year={2007},
  volume={52},
  pages={1631-1641}
}
  • S. Särkkä
  • Published 2007
  • Mathematics, Computer Science
  • IEEE Trans. Autom. Control.
This paper considers the application of the unscented Kalman filter (UKF) to continuous-time filtering problems, where both the state and measurement processes are modeled as stochastic differential equations. The mean and covariance differential equations which result in the continuous-time limit of the UKF are derived. The continuous-discrete UKF is derived as a special case of the continuous-time filter, when the continuous-time prediction equations are combined with the update step of the… Expand

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