Title :
Analysis of the Characteristic of the Kalman Gain for 1-D Chaotic Maps in Cubature Kalman Filter
Author :
Shiyuan Wang ; Jiuchao Feng ; Tse, Chi K.
Author_Institution :
Sch. of Electron. & Inf. Eng., Southwest Univ., Chongqing, China
Abstract :
The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cramér-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems.
Keywords :
Kalman filters; filtering theory; nonlinear filters; 1D chaotic signal map; Cramér-Rao lower bound; Kalman gain characteristic; chaotic nonlinear system; cubature Kalman filter; periodic nonlinear system; Approximation methods; Chaos; Educational institutions; Electronic mail; Kalman filters; Nonlinear dynamical systems; Cramér–Rao lower bound; Kalman gain; Lyapunov exponent; cubature Kalman filter;
Journal_Title :
Signal Processing Letters, IEEE
DOI :
10.1109/LSP.2013.2241424
