Skewed approach to filtering

Simon J. Julier

doi:10.1117/12.324626

3 September 1998 Skewed approach to filtering

Simon J. Julier

Proceedings Volume 3373, Signal and Data Processing of Small Targets 1998; (1998) https://doi.org/10.1117/12.324626
Event: Aerospace/Defense Sensing and Controls, 1998, Orlando, FL, United States

Abstract

The dynamics of many physical system are nonlinear and non- symmetric. The motion of a missile, for example, is strongly determined by aerodynamic drag whose magnitude is a function of the square of speed. Conversely, nonlinearity can arise from the coordinate system used, such as spherical coordinates for position. If a filter is applied these types of system, the distribution of its state estimate will be non-symmetric. The most widely used filtering algorithm, the Kalman filter, only utilizes mean and covariance and odes not maintain or exploit the symmetry properties of the distribution. Although the Kalman filter has been successfully applied in many highly nonlinear and non- symmetric system, this has been achieved at the cost of neglecting a potentially rich source of information. In this paper we explore methods for maintaining and utilizing information over and above that provided by means and covariances. Specifically, we extend the Kalman filter paradigm to include the skew and examine the utility of maintaining this information. We develop a tractable, convenient algorithm which can be used to predict the first three moments of a distribution. This is achieved by extending the sigma point selection scheme of the unscented transformation to capture the mean, covariance and skew. The utility of maintaining the skew and using nonlinear update rules is assessed by examining the performance of the new filter against a conventional Kalman filter in a realistic tracking scenario.

Citation Download Citation

Simon J. Julier "Skewed approach to filtering", Proc. SPIE 3373, Signal and Data Processing of Small Targets 1998, (3 September 1998); https://doi.org/10.1117/12.324626

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