An Aperiodic Phenomenon of the Unscented Kalman Filter in Filtering Noisy Chaotic Signals

摘要：

An interesting behavior of the unscented Kalman filter (UKF) when it is used to filter chaotic systems, is reported in this paper. We show both theoretically and experimentally that the gain of the UKF may not converge or diverge but oscillate aperiodically. More precisely, when a nonlinear system is periodic, the kalman gain and error covariance of the UKF converge to zero. However, when the system being considered is chaotic, it either converges to a fixed point with a magnitude larger than zero or oscillates aperiodically.

作者: Hongjuan Fan Jiuchao Feng Shengli Xie

作者单位: Faculty of Electronic and Information Engineering, Southwest University Chongqing 400715, China Faculty of Electronic and Information Engineering, Southwest University Chongqing 400715, China;Scho School of Electronic and Information Engineering South China University of Technology Guangzhou 5106

会议类型: 国际会议

会议名称: 2006 International Conference on Communications,Circuits and Systems(第四届国际通信、电路与系统学术会议)

会议地点: 广西桂林

会议语种:英文

页码: 2507-2510

在线出版日期: 2006-06-25（万方平台首次上网日期，不代表论文的发表时间）