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| Unscented Kalman Filter with Colored Noise |
| Xiong Wei①; Chen Li-kui②; He You①; Zhang Jing-wei① |
| ①Research Institute of Information Fusion, Naval Aeronautical Engineering Institute, Yantai 264001, China; ②PLA92819, Dalian 116600, China |
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Abstract In the real world, it is a common problem how to estimate the state of nonlinear systems with colored noise. The Extended Kalman Filter (EKF) is generally used to linearize the state or measure equations of the nonlinear system, and the linear method can be used. However, the performance of the EKF may not be always good due to the linearization error. In this paper, a new method is proposed. Firstly, the method transforms the measure equation of the system, so the colored noise of the equation can be changed into white noise. Then, the Unscented Kalman Filter (UKF) can be used to estimate the state of the system. Although, the linearization of the equations is also needed in this method, it will not affect the precision of the method, because the linearization is performed during the course of computing the error of the new measure equation. The results of the simulation show that the new method can effectively get the precision state estimation of the nonlinear system with colored nois.
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Received: 09 August 2005
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2007, Vol. 29 
