A New Version of Unscented Kalman Filter

This paper presents a new algorithm which yields a nonlinear state estimator called iterated unscented Kalman filter. This state estimator makes use of both statistical and analytical linearization techniques in dffirent parts of the filtering process. It outperforms the other three nonlinear state estimators: unscented Kalman filter (UKF), extended Kalman flter (EKF) and iterated extended Kalman filter (IEKF) when there rs severe nonlinearity in system equation and less nonlinearity in measurement equation. The algorithrn performance has been verified by illustrating some simulation results.

Keywords:

Unscented Kalman Filter , Extended Kalman Filter , Iterated EKF , Nonlinear state estimator. Unscented transform