Nonlinear estimation using transformed Gauss-Hermite quadrature points

An ongoing work proposing a new method for nonlinear filtering problem is reported. The intractable integrals have appeared in nonlinear estimation problem been approximately evaluated using Gauss-Hermite quadrature rule. An orthogonal transformation has been applied on Gauss-Hermite points in order to obtain more accurate estimation for higher order problems. The developed method is named transformed Gauss-Hermite filter. The efficacy of proposed filter compared to ordinary Gauss-Hermite filter is demonstrated with the help of an example.