Two novel costs for determining the tuning parameters of the Kalman Filter

Manika Saha; Bhaswati Goswami; Ratna Ghosh

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arXiv · 1110.3895

Two novel costs for determining the tuning parameters of the Kalman Filter

Manika Saha·Bhaswati Goswami·Ratna Ghosh

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Abstract

The Kalman filter (KF) and the extended Kalman filter (EKF) are well established techniques for state estimation. However, the choice of the filter tuning parameters still poses a major challenge for the engineers [1]. In the present work, two new costs have been proposed for determining the filter tuning parameters on the basis of the innovation covariance. This provides a cost function based method for the selection of suitable combination(s) of filter tuning parameters in order to ensure the design of a KF or an EKF having an optimally balanced RMSE performance. Index Terms-Kalman filter, tuning parameters, innovation covariance, cost function

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Manika Saha, Bhaswati Goswami, Ratna Ghosh. 2013-02-25. Two novel costs for determining the tuning parameters of the Kalman Filter. https://arxiv.org/abs/1110.3895

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