Unscented kalman filter example

1. What is an unscented Kalman filter?
2. Why is the unscented Kalman filter called unscented?
3. Who invented unscented Kalman filter?
4. What is EKF and UKF?

What is an unscented Kalman filter?

The unscented Kalman filter is a suboptimal non-linear filtration algorithm, however, in contrast to algorithms such as EKF or LKF, it uses an unscented transformation (UT) as an alternative to a linearization of non-linear equations with the use of Taylor series expansion.

Why is the unscented Kalman filter called unscented?

The running joke is that the Unscented Kalman filter is called “Unscented” because the team that invented it felt the Extended filter's performance was “stinky” and prove a point they called the better performing one “Unscented”!

Who invented unscented Kalman filter?

This paper points out the flaws in using the EKF, and introduces an improvement, the Unscented Kalman Filter (UKF), proposed by Julier and Uhlman [5]. A central and vital operation performed in the Kalman Filter is the prop- agation of a Gaussian random variable (GRV) through the system dynamics.

What is EKF and UKF?

The Extended Kalman Filter (EKF) and Unscented Kalman Filter (UKF) are derived from the KF. The EKF is the nonlinear version of the KF which linearizes about the mean and covariance, while the UKF is best known nonlinear estimates.