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This paper considers the robust filtering problem for a class of nonlinear discrete-time systems, and a conjugate unscented transform (CUT) based strong tracking H∞ filter is proposed. Firstly, an extended strong tracking H∞ filter is presented based on the fusion of the extended H∞ filter and strong tracking filter. By online estimating the time-varying noises, the fading factor in the strong tracking...
The square root unscented Kalman filter was introduced to provide a more numerically robust formulation of the unscented Kalman filter and to guarantee positive semi-definiteness. The filter maintains the Cholesky factor of the covariance matrix instead of the covariance itself. Efficient linear algebra techniques, including Cholesky update and downdate, are used to predict and update the Cholesky...
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