Analysis of the characteristic of the kalman gain for 1-d chaotic maps in cubature kalman filter

Shiyuan Wang; Jiuchao Feng; Chi Kong Tse

doi:10.1109/LSP.2013.2241424

Analysis of the characteristic of the kalman gain for 1-d chaotic maps in cubature kalman filter

Shiyuan Wang
, Jiuchao Feng
, Chi Kong Tse

The Hong Kong Polytechnic University

Research output: Journal article publication › Journal article › Academic research › peer-review

23 Citations (Scopus)

Abstract

The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cramér-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems.

Original language	English
Article number	6415995
Pages (from-to)	229-232
Number of pages	4
Journal	IEEE Signal Processing Letters
Volume	20
Issue number	3
DOIs	https://doi.org/10.1109/LSP.2013.2241424
Publication status	Published - 11 Feb 2013

Keywords

Cramér-Rao lower bound
cubature Kalman filter
Kalman gain
Lyapunov exponent

ASJC Scopus subject areas

Signal Processing
Applied Mathematics
Electrical and Electronic Engineering

More information

10.1109/LSP.2013.2241424

Cite this

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abstract = "The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cram{\'e}r-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems.",

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N2 - The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cramér-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems.

AB - The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cramér-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems.

KW - Cramér-Rao lower bound

KW - cubature Kalman filter

KW - Kalman gain

KW - Lyapunov exponent

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DO - 10.1109/LSP.2013.2241424

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JF - IEEE Signal Processing Letters

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Analysis of the characteristic of the kalman gain for 1-d chaotic maps in cubature kalman filter

Abstract

Keywords

ASJC Scopus subject areas

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