PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Model Based Learning of Sigma Points in Unscented Kalman Filtering
Ryan Turner and Carl Edward Rasmussen
Neurocomputing 2011.


The unscented Kalman filter (UKF) is a widely used method in control and time series applications. The UKF suffers from arbitrary parameters necessary for sigma point placement, potentially causing it to perform poorly in nonlinear problems. We show how to treat sigma point placement in a UKF as a learning problem in a model based view. We demonstrate that learning to place the sigma points correctly from data can make sigma point collapse much less likely. Learning can result in a significant increase in predictive performance over default settings of the parameters in the UKF and other filters designed to avoid the problems of the UKF, such as the GP-ADF. At the same time, we maintain a lower computational complexity than the other methods. We call our method UKF-L.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:8471
Deposited By:Ryan Turner
Deposited On:27 January 2012