CUED Publications database

Model based learning of sigma points in unscented Kalman filtering

Turner, R and Rasmussen, CE (2010) Model based learning of sigma points in unscented Kalman filtering. Proceedings of the 2010 IEEE International Workshop on Machine Learning for Signal Processing, MLSP 2010. pp. 178-183.

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Abstract

The unscented Kalman filter (UKF) is a widely used method in control and time series applications. The UKF suffers from arbitrary parameters necessary for a step known as sigma point placement, causing it to perform poorly in nonlinear problems. We show how to treat sigma point placement in a UKF as a learning problem in a model based view. We demonstrate that learning to place the sigma points correctly from data can make sigma point collapse much less likely. Learning can result in a significant increase in predictive performance over default settings of the parameters in the UKF and other filters designed to avoid the problems of the UKF, such as the GP-ADF. At the same time, we maintain a lower computational complexity than the other methods. We call our method UKF-L. ©2010 IEEE.

Item Type: Article
Subjects: UNSPECIFIED
Divisions: Div F > Computational and Biological Learning
Depositing User: Cron Job
Date Deposited: 07 Mar 2014 12:13
Last Modified: 28 Nov 2014 19:06
DOI: 10.1109/MLSP.2010.5589003