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Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter

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3 Author(s)
Shiyuan Wang ; Sch. of Electron. & Inf. Eng., Southwest Univ., Chongqing, China ; Jiuchao Feng ; Tse, C.K.

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.

Published in:

Signal Processing Letters, IEEE  (Volume:20 ,  Issue: 3 )