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Analysis of Kalman Filter Approximations for Nonlinear Measurements

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2 Author(s)
Morelande, M.R. ; Melbourne Syst. Lab., Univ. of Melbourne, Parkville, VIC, Australia ; Garcia-Fernandez, A.F.

A theoretical analysis is presented of the correction step of the Kalman filter (KF) and its various approximations for the case of a nonlinear measurement equation with additive Gaussian noise. The KF is based on a Gaussian approximation to the joint density of the state and the measurement. The analysis metric is the Kullback-Leibler divergence of this approximation from the true joint density. The purpose of the analysis is to provide a quantitative tool for understanding and assessing the performance of the KF and its variants in nonlinear scenarios. This is illustrated using a numerical example.

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Signal Processing, IEEE Transactions on  (Volume:61 ,  Issue: 22 )