Nonlinear filtering is an important standard tool for information and sensor fusion applications, e.g., localization, navigation, and tracking. It is an essential component in surveillance systems and of increasing importance for standard consumer products, such as cellular phones with localization, car navigation systems, and augmented reality. This thesis addresses several issues related to n...

Extended Kalman Filter (EKF) and Unscented Kalman Filter (UKF) are often used in target tracking, but the required Posterior Density Function (PDF) is still approximated by a Gaussian, which may be a gross distortion of the true underlying structure and lead to filter divergence when performing EKF or UKF. Because the uncertainty of process model in bearing only tracking is small compared with ...

In order to improve estimation accuracy of nonliear system with linear measurement model, simplified gauss hermite filter based on sparse grid gauss hermite quadrature (SGHF) is proposed. Comparing to conventional Gauss-Hermite filter (GHF) based on tensor product gauss quadrature rule, simplified SGHF not only maintains GHF’s advantage of precission controllable, high estimation accuracy, but ...

An array of nonidentical and locally connected chaotic biological neurons is modelled by a single representative chaotic neuron model based on an extension of the Hindmarsh-Rose neuron. This model is then employed in conjunction with the unscented Kalman filter to study the associated state estimation problem. The archetypal system, which was deliberately chosen to be chaotic, was corrupted wit...

The methods of the class of Kalman filters have recently been used in the estimation of the term structure of interest rates. These methods can employ both time-series and cross-sectional aspects of term structure models. This paper compares the performance of two kinds of non-linear Kalman filter algorithms Extended Kalman Filter (EKF) and Square-Root Unscented Kalman Filter (SRUKF) in estimat...

This paper addresses the state-estimation problem for nonlinear systems for the case in which prior knowledge is available in the form of interval constraints on the states. Approximate solutions to this problem are reviewed and compared with new algorithms. All the algorithms investigated are based on the unscented Kalman filter. Two illustrative examples of chemical processes are discussed. N...

Three-axis-magnetometers (TAMs) are widely utilized as a key component of attitude determination subsystems and as such are considered the corner stone of navigation for low Earth orbiting (LEO) space systems. Precise geomagnetic-based navigation demands accurate calibration of the magnetometers. In this regard, a complete online calibration process of TAM is developed in the current research t...