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Reliability Assessment of an Unscented Kalman Filter by Using Ellipsoidal Enclosure Techniques
(2022)
The Unscented Kalman Filter (UKF) is widely used for the state, disturbance, and parameter estimation of nonlinear dynamic systems, for which both process and measurement uncertainties are represented in a probabilistic form. Although the UKF can often be shown to be more reliable for nonlinear processes than the linearization-based Extended Kalman Filter (EKF) due to the enhanced approximation capabilities of its underlying probability distribution, it is not a priori obvious whether its strategy for selecting sigma points is sufficiently accurate to handle nonlinearities in the system dynamics and output equations. Such inaccuracies may arise for sufficiently strong nonlinearities in combination with large state, disturbance, and parameter covariances. Then, computationally more demanding approaches such as particle filters or the representation of (multi-modal) probability densities with the help of (Gaussian) mixture representations are possible ways to resolve this issue. To detect cases in a systematic manner that are not reliably handled by a standard EKF or UKF, this paper proposes the computation of outer bounds for state domains that are compatible with a certain percentage of confidence under the assumption of normally distributed states with the help of a set-based ellipsoidal calculus. The practical applicability of this approach is demonstrated for the estimation of state variables and parameters for the nonlinear dynamics of an unmanned surface vessel (USV).
In this paper, utilisation of an Unscented Kalman Filter for concurrently performing disturbance estimation and wave filtering is investigated. Experimental results are provided that demonstrate very good performance subject to both tasks. For the filter, a dynamic model has been used which was optimised via correlation analysis in order to obtain a minimum set of relevant parameters. This model has also been validated by experiments deploying a small vessel. A simulation study is presented to evaluate the performance using known quantities. Experimental trials have been performed on the Rhine river. The results show that for instance flow direction and varying current velocities can continuously be estimated with decent precision, even while the boat is performing turning manoeuvres. Moreover, the filtering properties are very satisfactory. This makes the filter suitable for being used, for instance, in autonomous vessel applications or assistance systems.