Rao-Blackwellised unscented particle filtering for jump Markov non-linear systems: an H∞ approach

In this study, a robust Rao-Blackwellised particle filter (RBPF) is proposed for jump Markov non-linear systems (JMNLSs) with unknown noise statistics. A non-linear filter is presented by applying the unscented transform technique in the H_∞ setting, which is used to update the continuous-state particles in the RBPF framework. Moreover, a way to adaptively adjust the disturbance tolerance level for performance requirement is presented. Simulation results using the proposed approach are also presented.