Transformed cubature quadrature Kalman filter

Abstract

An orthogonal transformation is applied to the cubature quadrature (CQ) points which are used to approximate the intractable integrals appeared during the estimation of states of a non‐linear system. With the help of a theorem, it is shown that the transformed points reduce the higher order moments (HOM) appeared while approximating the mean and covariance. As the HOM act as residue, the proposed method results in an improved filtering accuracy. Further, the proposition is extended in delayed measurement environment. The proposed method has been implemented for two different simulation problems. The simulation results reveal that at the same computational load, the filter with transformed CQ points provides higher accuracy compared with the filter with ordinary CQ points. The performance has been verified in the delayed measurement environment and an improved accuracy has been reported.