The Cubature Kalman Filter revisited
J.C. Santos-León, R. Orive, Daniel Acosta, Daniel Acosta, Leopoldo Sánchez
Abstract
In this paper, the construction and effectiveness of the so-called Cubature Kalman Filter (CKF) is revisited, as well as its extensions for higher degrees of precision. In this sense, some stable (with respect to the dimension) cubature rules with a quasi-optimal number of nodes are built, and their numerical performance is checked in comparison with other known formulas. All these cubature rules are suitably placed in the mathematical framework of numerical integration in several variables. A method based on the discretization of higher order partial derivatives by certain divided differences is used to provide stable rules of degrees d = 5 and d = 7 , though it can also be applied for higher dimensions. The application of these old and new formulas to the filter algorithm is tested by means of some examples.