Title :
A Comparison of the Extended and Unscented Kalman Filters for Discrete-Time Systems with Nondifferentiable Dynamics
Author :
Chandrasekar, J. ; Ridley, A.J. ; Bernstein, D.S.
Author_Institution :
Univ. of Michigan, Ann Arbor, MI
Abstract :
We compare the performance of the extended Kalman filter, the unscented Kalman filter, and two extensions of the Hinfin filter when applied to discrete-time nonlinear state estimation problems with nondifferentiable dynamics. We compare the performance of all the estimation techniques on simple nonlinear examples and finally consider state estimation of one-dimensional hydrodynamic flow based on a finite volume model that contains nondifferentiable nonlinearities.
Keywords :
Hinfin control; Kalman filters; discrete time systems; nonlinear control systems; state estimation; Hinfin filter; discrete-time nonlinear state estimation problem; extended Kalman filter; finite volume model; nondifferentiable dynamics; one-dimensional hydrodynamic flow; unscented Kalman filter; Computational fluid dynamics; Data assimilation; Hydrodynamics; Jacobian matrices; Linear systems; Magnetohydrodynamics; Particle filters; Riccati equations; State estimation; Weather forecasting;
Conference_Titel :
American Control Conference, 2007. ACC '07
Conference_Location :
New York, NY
Print_ISBN :
1-4244-0988-8
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2007.4283100
