Convergence analysis of the unscented kalman filter for filtering noisy chaotic signals

Jiuchao Feng, Hongjuan Fan, Chi Kong Tse

Research output: Journal article publicationConference articleAcademic researchpeer-review

5 Citations (Scopus)

Abstract

The unscented Kalman filter (UKF) has recently been proposed for filtering noisy chaotic signals. Though computationally advantageous, the UKF has not been thoroughly analyzed in terms of its convergence property. In this paper, non-periodic oscillatory behavior of the UKF when used to filter chaotic signals is reported. We show both theoretically and experimentally that the gain of the UKF may oscillate aperiodically. More precisely, when applied to periodic signals generated from nonlinear systems, the Kalman gain and error covariance of the UKF converge to zero. However, when the system being considered is chaotic, the Kalman gain either converges to a fixed point with a magnitude larger than zero or oscillates aperiodically.
Original languageEnglish
Article number4252980
Pages (from-to)1681-1684
Number of pages4
JournalProceedings - IEEE International Symposium on Circuits and Systems
Publication statusPublished - 27 Sep 2007
Event2007 IEEE International Symposium on Circuits and Systems, ISCAS 2007 - New Orleans, LA, United States
Duration: 27 May 200730 May 2007

ASJC Scopus subject areas

  • Electronic, Optical and Magnetic Materials
  • Electrical and Electronic Engineering

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