Cubature quadrature Kalman filter

Abstract

In this correspondence, the authors develop a novel method based on spherical radial cubature and Gauss–Laguerre quadrature rule for non‐linear state estimation problems. The proposed filter, referred as cubature quadrature Kalman filter (CQKF) would be able to overcome inherent disadvantages associated with the earlier reported cubature Kalman filter (CKF). The theory and formulation of CQKF has been presented. Using two well‐known non‐linear examples, the superior performance of CQKF has been demonstrated. Owing to computational efficiency (compared to the particle and grid‐based filter) and enhanced accuracy compared to the extended Kalman filter and the CKF, the developed algorithm may find place in on‐board real life applications.