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Reduced sigma point filters for the propagation of means and covariances through nonlinear transformations

Julier, SJ; Uhlmann, JK; (2002) Reduced sigma point filters for the propagation of means and covariances through nonlinear transformations. Presented at: UNSPECIFIED.

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Abstract

The Unscented Transform (UT) approximates the result of applying a specified nonlinear transformation to a given mean and covariance estimate. The UT works by constructing a set of points, referred to as sigma points, which has the same known statistics, e.g., first and second and possibly higher moments, as the given estimate. The given nonlinear transformation is applied to the set, and the unscented estimate is obtained by computing the statistics of the transformed set of sigma points. For example, the mean and covariance of the transformed set approximates the nonlinear transformation of the original mean and covariance estimate. The computational efficiency of the UT therefore depends on the number of sigma points required to capture the known statistics of the original estimate. In this paper we examine methods for minimizing the number of sigma points for real-time control, estimation, and filtering applications. We demonstrate results in a 3D localization example.

Type: Conference item (UNSPECIFIED)
Title: Reduced sigma point filters for the propagation of means and covariances through nonlinear transformations
Keywords: Kalman filter, Non-linear estimation, Unscented filtering
UCL classification: UCL > School of BEAMS > Faculty of Engineering Science
UCL > School of BEAMS > Faculty of Engineering Science > Computer Science
URI: http://discovery.ucl.ac.uk/id/eprint/135530
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