Two Efficient Implementation Forms of Unscented Kalman Filter

Two efficient implementation forms of unscented Kalman filter are described in this paper. They respectively utilize Cholesky factors and modified Cholesky factors to update state covariance, which make them have good numerical stability. Through computational complexity analysis, it is shown that the implementation using Cholesky factors is slower than the standard implementation. Also is shown that in some cases the form using modified Cholesky factors is faster than the standard unscented Kalman filter.