Multiple Quadrature Kalman Filtering

Date Added: Sep 2012
Format: PDF

Bayesian filtering is a statistical approach that naturally appears in many signal processing problems. Ranging from Kalman filter to particle filters, there is a plethora of alternatives depending on model assumptions. With the exception of very few tractable cases, one has to resort to suboptimal methods due to the inability to analytically compute the Bayesian recursion in general dynamical systems. This is why it has attracted the attention of many researchers in order to develop efficient algorithms to implement it. The authors focus their interest into a recently developed algorithm known as the Quadrature Kalman Filter (QKF). Under the Gaussian assumption, the QKF can tackle arbitrary nonlinearities by resorting to the Gauss-Hermite Quadrature rules. However, its complexity increases exponentially with the state-space dimension.