Square-root Accurate Continuous-Discrete Extended Kalman Filter for target tracking

Abstract

The new Accurate Continuous-Discrete Extended Kalman Filter based on an efficient ODE solver with global error control is discussed at large, here. Also, its square-root variant is designed to improve accuracy and robustness for a finite-precision computer arithmetics. Then, it is examined in severe conditions of tackling a seven-dimensional radar tracking problem, where an aircraft executes a coordinated turn. The latter is considered to be a challenging one for testing nonlinear filtering algorithms. Our numerical results confirm that the presented technique is flexible and robust. It treats successfully (and without any additional tuning) the target tracking problem for various initial data and for a range of sampling times.