BIMSA > Seminar on Control Theory and Nonlinear Filtering A Thorough Convergence Analysis of Unscented Kalman Filter
A Thorough Convergence Analysis of Unscented Kalman Filter
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Monday, June 12, 2023 2:30 PM - 3:00 PM
Venue
数学系理科楼A-203
Abstract
In this talk, we will give a thorough convergence analysis of unscented Kalman filter (UKF) for continuous nonlinear filtering systems. The convergence analysis is based on a comparison between the evolution of UKF and the Kushner-Stratonovich equation. We will first restrict ourselves for systems with bounded coefficients and derive some sufficient conditions that guarantee the convergence of UKF. Results illustrates that the skewness of the conditional probability distribution may be a key factor to the efficiency of Kalman-type algorithms for nonlinear filters.