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Unscented Kalman Filter (UKF) has been proved to be a superior alternative to the extended Kalman filter (EKF) when solving the nonlinear system in recent years. In order to improve the real-time of the UKF, A new kind of UKF called Sequence UKF is proposed in this paper. Like Rao-Blackwellised Unscented Kalman Filter (RBUKF) [4], it also deals with nonlinear stochastic discrete-time system with linear...
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