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Sensitivity Analysis of Extended and Unscented Kalman Filters for Attitude

Estimation

Article  in  Journal of Aerospace Computing, Information and Communication · March 2013

DOI: 10.2514/1.54899

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JOURNAL OF AEROSPACE INFORMATION SYSTEMS
Vol. 10, No. 3, March 2013

Sensitivity Analysis of Extended and Unscented

Kalman Filters for Attitude Estimation

Matthew Rhudy,∗ Yu Gu,† Jason Gross,‡ Srikanth Gururajan,§ and Marcello R. Napolitano¶
West Virginia University, Morgantown, West Virginia 26506
DOI: 10.2514/1.54899
The extended Kalman filter (EKF) and unscented Kalman filter (UKF) for nonlinear state estimation with both
additive and nonadditive noise structures are presented and compared. Three different Global Positioning System
(GPS)/inertial navigation system (INS) sensor fusion formulations for attitude estimation are used as case studies for
the nonlinear state estimation problem. A diverse set of actual flight data collected from research unmanned aerial
vehicles was used as empirical data for this study. Roll and pitch estimation results were compared with independent
measurements from a mechanical vertical gyroscope to evaluate the performance. The performance of the EKF and
UKF is compared in terms of noise assumptions, covariance matrix tuning, sampling rate, initialization error, GPS
outages, robustness to inertial measurement unit bias and scale factors, and linearization. Similar sensitivity for this
GPS/INS attitude estimation problem was found between the EKF and UKF for most cases. Small differences were
seen between EKF and UKF for initialization error and GPS outages: the UKF was found to be more robust to
inertial measurement unit calibration errors, and the EKF was determined to be more computationally efficient.

I. Introduction
HE unscented Kalman filter (UKF) [1] is emerging as a popular nonlinear state estimation approach as compared to the commonly used
T extended Kalman filter (EKF) [2]. The theoretical advantage of using an unscented transformation in the UKF instead of analytical
linearization in the EKF for recovering statistics after propagating through strong nonlinear equations is documented in a number of simulation-
based studies [1,3–5]. However, the advantage of the UKF over the EKF within practical applications is not as obvious, with mixed conclusions
reported by different research groups.
Van Dyke et al. [4], Sadhu et al. [5], Orderud [6], Wang et al. [7], Won et al. [8], and Nick et al. [9] reported that the UKF performs significantly
and consistently better than the EKF in applications of dual estimation [10] for spacecraft attitude state and parameter estimation, bearing-only
tracking, again bearing-only tracking, radar tracking, monocular vision-based inertial navigation system (INS), and localization of radio-
frequency identification tags, respectively. Kandepu et al. [11] presented the same conclusions through four different simulation studies of the
following problems: Van der Pol oscillator, estimation in an induction machine, state estimation of a reversible reaction, and a solid oxide fuel cell
combined gas turbine hybrid system. Stastny et al. [12], Akin et al. [13], Chowdhary and Jategaonkar [14], Giannitrapani et al. [15], and Kim et al.
[16] concluded that the UKF achieves slightly better performance than the EKF within applications of angles-based navigation, state estimation
of induction motors, aerodynamic parameter estimation, spacecraft localization using angle measurements, and spiraling ballistic missile state
estimation, respectively. Saulson and Chang [17] and LaViola [18] found insignificant differences in the performance between the EKF and UKF
for the ballistic missile tracking problem and for estimation of quaternion motion for human tracking, respectively.
One commonly studied nonlinear state estimation problem is attitude estimation with a Global Positioning System (GPS) receiver and a low-
cost INS. The nonlinear GPS/INS sensor fusion problem was first solved with the EKF and was later replaced with the UKF by several authors
[3,19–23], and their performances were compared. The UKF was stated to perform better than the EKF by van der Merwe et al. [3]. Although a
real flight data example was shown, only simulation results were used to quantify this conclusion [3]. Crassidis [19], Fiorenzani et al. [20], and
Wendell et al. [21] concluded, by using simulation studies, that the UKF performance exceeds that of the EKF only under large initialization
errors. El-Sheimy et al. reached this same conclusion through experimental tests of the attitude estimation problem for land vehicles [22].
El-Sheimy et al. also found that the EKF and UKF performed similarly in terms of position error under GPS outages [22]. St. Pierre and Ing
determined from simulation that the UKF performance is slightly better than the EKF for estimating position [23].
The large variance of conclusions on the performance of the EKF against the UKF, especially within similar applications, highlights the need
for a systematic evaluation method. Current comparison studies are limited in the consideration of multiple design parameters. Several factors
could lead to difficulties in evaluating and assessing state estimation performances for a given problem. First, different nonlinear state-space
formulations exist for the same problem; second, the assumptions on the input, process, and measurement noise characteristics might not be
realistic; and third, the change of operating conditions in the physical world introduces randomness in the estimation performance. A filtering
algorithm may perform well with a particular formulation and a set of particular assumptions under a particular operating environment but not
otherwise. Therefore, the objective of this paper is to investigate the sensitivity and robustness of EKF and UKF with respect to design parameters
and operating conditions. A practical GPS/INS attitude estimation problem is used as a case study, with the goal of gaining a better understanding
of more general properties of nonlinear state estimation algorithms. Within this paper, three different formulations of the attitude estimation
problem are presented with both additive and nonadditive noise assumptions, and they are evaluated with 23 diverse sets of flight data selected

Received 10 May 2011; revision received 18 June 2012; accepted for publication 18 June 2012. Copyright © 2012 by Matthew Rhudy, Yu Gu, Jason Gross,
Srikanth Gururajan, and Marcello R. Napolitano. Published by the American Institute of Aeronautics and Astronautics, Inc., with permission. Copies of this paper
may be made for personal or internal use, on condition that the copier pay the $10.00 per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive,
Danvers, MA 01923; include the code 1940-3151/12 and $10.00 in correspondence with the CCC.
∗
Ph.D. Candidate, Mechanical and Aerospace Engineering Department, Post Office Box 6106; mbr5002@gmail.com. Student Member AIAA.
†
Assistant Professor, Mechanical and Aerospace Engineering Department, Post Office Box 6106. Senior Member AIAA.
‡
Mechanical and Aerospace Engineering Department, Post Office Box 6106; currently Jet Propulsion Laboratory, California Institute of Technology, Pasadena,
California 91125. Student Member AIAA.
§
Postdoctoral Research Fellow, Mechanical and Aerospace Engineering Department, Post Office Box 6106. Student Member AIAA.
¶
Professor, Mechanical and Aerospace Engineering Department, Post Office Box 6106. Senior Member AIAA.
131
132 RHUDY ET AL.

from a large library collected using West Virginia University (WVU) research unmanned aerial vehicles (UAVs). The estimated pitch and roll
angles are directly compared to independent measurements provided by a mechanical vertical gyroscope to evaluate the state estimation
performance. The use of diverse flight data, along with the availability of independent “truth” measurements, provides a realistic and quantifiable
evaluation of estimation algorithms.
This paper presents a continuation of previous GPS/INS sensor fusion research conducted at WVU [24–28]. Early work on this topic involved a
baseline comparison of a single GPS/INS formulation using an EKF, an UKF, and a particle filter on a single set of flight data [24]. Using this same
formulation, but incorporating more sets of flight data, a later study began to explore the sensitivity of this formulation for EKF and UKF in
response to various phenomena [25]. This work led into a more comprehensive baseline comparison of EKF and UKF that considered 23 diverse
sets of flight data using four different sensor fusion formulations [26]. Using this same data set, different methods of computing the matrix square
root were compared for the UKF [27]. The calibration and error modeling of low-cost navigation sensors was also studied for use within GPS/INS
sensor fusion applications [28]. The present study further investigates the differences between the EKF and UKF for attitude state estimation
using three GPS/INS sensor fusion formulations, two of which had not been previously considered by the authors. This work elaborates on the
previous sensitivity analysis, and it provides additional insight into the nonlinear state estimation problem.
The rest of the paper is organized as follows. Section II discusses the developed GPS/INS sensor fusion algorithms as well as a brief review of
the difference between EKF and UKF in handling nonlinearity and noise assumptions. Section III discusses the experimental setup. Section IV
describes the results of the sensitivity analysis. Finally, Sec. V presents the concluding remarks.

II. Problem Formulation

A general discrete nonlinear system is described as follows:

x k
fxk1 ; uk ; wk  (1)

y k
hxk ; dk ; vk  (2)

where f is the vector-valued discrete state prediction function, h is the vector-valued discrete observation function, x is the state vector, y is the
output vector, u and d are input vectors, w is the process noise vector, v is the measurement noise vector, and k is the discrete time index. The
dimensions of x, u, w, y, d, and v are nx , nu , nw , ny , nd , and nv , respectively. In general, f and h are nonlinear multivariate vector-valued functions
of dimensions nx and ny , respectively. A diagram illustrating the state estimation process of this general nonlinear system with a Kalman filter is
shown in Fig. 1.
In Fig. 1, K is the Kalman gain matrix, which is calculated from the equations of a nonlinear Kalman filter. A common simplification used in
many applications [12,17,29,30] is that the process and measurement noise are additive [31], as in

x k
fxk1 ; uk   wk (3)

y k
hxk ; dk   vk (4)

These process and measurement noise terms are also considered to be uncorrelated, white, and Gaussian with zero mean and known covariance
matrices Q and R, respectively, as in

w k  N0; Qk  (5)

v k  N0; Rk  (6)

Ewk vTk 
0 (7)

A. Linearization with Additive Noise in Extended and Unscented Kalman Filters

Discrete nonlinear state estimation using the Kalman filter framework requires a linearization technique to predict the mean x and covariance P
of the state at each time step k. In the EKF, the mean is predicted using Eq. (3) with wk
0. The covariance is predicted analytically using an
nx  nx Jacobian matrix, Fx;k
@fxk1 ; uk  =@xk1 :
T
Pk
Fx;k Pk1 Fx;k  Qk (8)

uk xk −1
wk
(
f xk −1 , uk , wk ) k = k +1

xk |k −1 xk

+
+
dk
vk
(
h xk |k −1 , d k , vk ) Kk

yk |k −1
−
+
zk
Fig. 1 Conceptual representation of nonlinear state estimation.
 RHUDY ET AL. 133

The UKF, however, uses a statistical linearization to predict the mean and covariance of the state by using an unscented transformation [1]. This
process involves deterministically generating sigma points
using information about the a priori mean and covariance of the state:
p









p











k1
 xk1 xk1 
Pk1 xk1 
Pk1 (9)

where
is a sigma point spread parameter [3]. Within this effort, the Cholesky decomposition was used to calculate the matrix square root. Each of
the sigma points are passed through the nonlinear function, then the a posteriori mean and covariance are calculated using weighted averages:
i

kjk1
fi
k1 ; uk ; i
0; 1; . . . ; 2L (10)

X
2L
x kjk1
wim i
kjk1 (11)
i
0

X
2L
Pkjk1
wic i
kjk1  xkjk1 i
kjk1  xkjk1 T (12)
i
0

where wm and wc are weight vectors. The sigma point spread parameter and weight vectors are further defined in [3]. One advantage of the UKF is
the ability to linearize noncontinuous functions, which the EKF is unable to do because a Jacobian cannot be calculated at a discontinuity. For this
problem, since observation function Eq. (2) is continuous, both linearization techniques can also be applied to this function. The full list of
equations for the EKF and UKF can be found in [32].

B. Linearization with Nonadditive Noise

The assumptions on the noise characteristics of the system are important aspects of the nonlinear state estimation problem. In general, for a
nonlinear state-space system of the form in Eqs. (1) and (2), modifications can be made to the linearization techniques employed by the EKF and
UKF to accommodate nonadditive noise processes. In the EKF, an additional nx  nw Jacobian matrix, Fw;k
@fxk1 ; uk ; wk  =@wk , can be
calculated to linearize the function with respect to the process noise [32]. With this matrix, Eq. (8) is modified to be
T T
Pk
Fx;k Pk1 Fx;k  Fw;k Qk Fw;k (13)

Note that Eq. (13) is a more general form of Eq. (8), and it reduces to Eq. (8) when assuming additive noise.
The UKF handles nonadditive noise assumptions through the augmentation of the state vector with the process noise vector, and
correspondingly for covariance
   
a xk a Pk 0
xk
Pk
(14)
wk 0 Qk

where the superscript a denotes augmentation. Using this augmented system, the sigma points used in the unscented transformation have
components corresponding to the state and process noise,
ak

xk
wk T , and therefore can be used in Eq. (1) directly, as in

xk
f
xk1 ; uk ;
wk1  (15)

Similar modifications for the EKF and UKF can be made to handle nonadditive noise in the output equations.

C. Quantification of Nonlinearity Using Hessian Norms

The nonlinearity of the states (i.e., local curvature) of a system can be quantified by calculating the Hessian [33], which is defined as the second
derivative of the state prediction function with respect to the state vector, as in
@2 fxk1 ; uk 
Fxx;k
(16)
@x2k1

where Fxx is the Hessian, which is a third-order tensor (nx  nx  nx ) but can be decomposed into a set of nx matrices with dimensions nx  nx ,
corresponding to each state. Similarly, a set of Hessian matrices can be calculated for the observation function to determine the nonlinearity of the
outputs. These matrices are symmetric by construction, and they are representative of the nonlinearity of the corresponding state. To quantify the
nonlinearity of each matrix in a scalar sense, the L1 or, equivalently due to symmetry, L1 norm can be calculated by taking the maximum absolute
column or row sum of the matrix. The value of this norm is a measure of nonlinearity of the corresponding state, with higher values representing
higher levels of nonlinearity.

D. Global Positioning System/Inertial Navigation System Sensor Fusion

A GPS/INS sensor fusion algorithm integrates information from two independent measurement systems. The inertial measurement unit (IMU)
measures the linear accelerations ax~ , ay~ , and az~ and angular rates p, q, and r taken with respect to the aircraft body frame, which is denoted using
(). The GPS measures the position (rx , ry , and rz ) and velocity (Vx , Vy , and Vz ) in the local Cartesian navigation frame. For the presented
application of GPS/INS sensor fusion, the primary sources of noise are from the IMU and GPS measurements. Uncertainty in the equations could
also be considered as a source of noise; however, for this application, since kinematic equations were used to derive the system dynamics, this
uncertainty is negligible. The noise on the measurements is considered to be zero mean Gaussian, as in Eqs. (5) and (6), and additive to the
measurements, such that
x k
fxk1 ; uk ; wk 
fxk1 ; uk  wk  (17)

y k
hxk ; dk ; vk 
hxk ; dk  vdk   vyk (18)

134 RHUDY ET AL.

Note that the measurement noise is separated into two components, one corresponding to the noise on the observation equation inputs d and one
corresponding to the noise on the output measurements y:
 d  d 
v Rk 0
v k
ky Rk
(19)
vk 0 Rk y

To capture different effects of the nonlinear state estimation problem, this paper considers three different formulations. The first formulation
contains nonlinearity in both the state prediction and observation functions. The second formulation contains more states than outputs, and it uses
a linear observation function. The third formulation expands upon the second to include additional parameters as states, therefore representing a
joint estimation problem [10,34]. These three formulations are presented in the following sections.

1. Inertial Navigation Equations

In aircraft navigation, two coordinate frames are considered: the aircraft body frame and a local Cartesian navigation frame. The relationship
between these two coordinate frames is given by the direction cosine matrix (DCM) [35]:
2 3
cos  cos  cos  sin  sin  sin  cos sin  sin  cos  sin  cos
DCM ; ; 
4 cos  sin cos  cos  sin  sin  sin  sin  cos  cos  sin  sin 5 (20)
 sin  sin  cos  cos  cos 

where , , and are the roll, pitch, and yaw angles of the aircraft. The relationship between the IMU acceleration and the local Cartesian frame
acceleration is given by
2 3 2 3 2 3
V_ x ax~ 0
4 V_ y 5
DCM; ; 4 ay~ 5  4 0 5 (21)
V_ z az~ g

where acceleration due to gravity g is included because the accelerometers measure the aircraft body accelerations relative to free fall. A similar
coordinate transformation is used to relate the aircraft body angular rates to the Euler angle rates [36]:
2 3 2 32 3
_ 1 sin  tan  cos  tan  p
4 _ 5
4 0 cos   sin  54 q 5 (22)
_ 0 sin  sec  cos  sec  r

To implement in discrete time, equations of the form x_
f c x; u and y
hc x; d are discretized using a first-order approximation [33] and
modified to include noise as in Eqs. (17) and (18):
x k
fxk1 ; uk ; wk 
xk1  Ts f c xk1 ; uk  wk  (23)

y k
hxk ; dk ; vk 
yk1  Ts hc xk ; dk  vdk   vyk (24)

2. Three-State Global Positioning System/Inertial Navigation System Sensor Fusion Formulation

To estimate the aircraft attitude, a three-state sensor fusion formulation was used with a state vector x consisting of the Euler angles [35] as
x
  T . Using these states, the prediction equations can be defined using Eqs. (22) and (23). The roll, pitch, and yaw rates (p, q, and r,
respectively) represent the input vector to the prediction equations: u
 p q r T . The outputs for this formulation are given by
y
 V_ x V_ y V_ z T . With these outputs, the observation equations are given by Eqs. (21) and (24), where the input vector is given by the IMU
accelerations: d
 ax~ ay~ az~ T . Note that, for this formulation, both the prediction and observation equations are nonlinear. The measurement
vector z is obtained through numerical differentiation of the GPS velocity measurements:
2 3
V  Vx;k1
1 4 x;k
z
Vy;k  Vy;k1 5 (25)
Ts V  V
z;k z;k1 GPS

The process and measurement noise covariance matrices were determined offline by calculating the covariance of the sensors from static tests and
used as constants throughout the filtering process. The value of R associated with the GPS velocities was adjusted empirically by varying a factor
over a set of values to improve the overall performance, and it was selected as shown:
Qk
Q
diag p2 q2 r2 (26)

Rdk
Rd
diag a2x~ a2y~ a2z~ (27)

Ryk
Ry
0:001
diag V2 x V2 y V2 z (28)

3. Six-State Global Positioning System/Inertial Navigation System Sensor Fusion Formulation

For this six-state sensor fusion formulation, in addition to the attitude of the aircraft, the local Cartesian components of velocity are included as
states: x
 Vx Vy Vz   T . The state prediction equations for these states are defined by Eqs. (21–23), with the input vector given by
all six IMU measurements: u
 ax~ ay~ az~ p q r T . The output for this formulation is given by extracting the measured states of the
system:
y k
hxk ; dk ; vk 
Hx x  vyk
 Vx Vy Vz T  vyk (29)
 RHUDY ET AL. 135

where the observation function h due to linearity can be written using the observation matrix, Hx
 I3x3 03x3 , where I is an identity matrix and
0 is a matrix of zeros with given dimensions. Note that, for this formulation, there is no input to the output equations, i.e., d
0; therefore, there is
no component of R corresponding to d. The measurement vector z consists of the velocity measurements provided by GPS:
z
 Vx Vy Vz TGPS . The process and measurement noise covariance matrices were calculated in a similar fashion as the three-state
formulation:
Qk
Q
diag a2x~ a2y~ a2z~ p2 q2 r2 (30)

Ryk
Ry
diag V2 x V2 y V2 z (31)

4. Twelve-State Global Positioning System/Inertial Navigation System Sensor Fusion Formulation

The twelve-state sensor fusion formulation is an extension of the six-state formulation that includes six additional states that represent time-
varying biases associated with the IMU measurements:
x
 Vx Vy Vz   bax~ bay~ baz~ bp bq br T (32)

where the b terms denote a sensor bias on each of the six IMU measurements, and it is represented collectively by
b
 bax~ bay~ baz~ bp bq br T , which has associated random walk noise given by wbk  N0; Qbk . With this state vector, the state
prediction equations are equivalent to the six-state formulation for the first six states, and the biases are predicted using
b k
bk1  wbk (33)

The components of the process noise covariance matrix corresponding to the biases are obtained using the noise characteristics of each
corresponding sensor. Since this formulation is equivalent to the six-state formulation with the exception of the biases, the same noise covariance
matrices in Eqs. (30) and (31) are used, with the bias covariance matrix components appended. The measurement update for this formulation is
given by extracting the measured states of the system as in Eq. (29), with Hx
 I33 039 and measurement vector z
 Vx Vy Vz TGPS.

III. Experimental Setup

A. Research Platform
Researchers at WVU designed, manufactured, and instrumented the YF-22 UAV research platform, shown in Fig. 2, which was used to validate
GPS-based formation flight [37–39] and fault-tolerant flight [40] control laws, and it was used for a variety of flight control system research
topics. Flight data were collected on the three WVU YF-22 aircraft (green, blue, and red) using two different avionics system configurations and
four different sensor payloads. Avionics system 1 [37] features a Novatel OEM4® GPS receiver, which reports a 1.8 m circular error probable for
position measurements and 0:03 m=s root-mean-square accuracy for velocity, and a Crossbow® IMU. A copy of avionics system 1 was
implemented in each of the three aircraft, each with a slightly different version of IMU, as outlined in Table 1. Avionics system 2 was a newer
system [41] and was used in the retrofitted blue YF-22 (blue*). This system also includes a Novatel OEM4 GPS receiver; however, an Analog
Devices ADIS-16405® IMU was used. The specifications for the four different IMUs are shown in Table 1. In addition to the IMU and GPS
measurements, measurements of the roll and pitch angles were independently recorded using a Goodrich VG34® mechanical vertical gyroscope,
which is sampled with 16-bit resolution and has 90 deg roll measurement range and 60 deg pitch range. The VG34 has a self-erection
system and reported accuracy within 0.25 deg of true vertical. The mounting plate that holds both the IMU and the vertical gyroscope is manually
leveled before each flight in order to provide a reference for the pitch and roll angles as close to zero as possible. The mechanical vertical
gyroscope measurements are used to establish baseline true data for the sensor fusion study.

B. Flight Data Selection

Many sets of data were collected from the WVU YF-22 platform. Each data set includes measurements from the IMU, GPS, and vertical
gyroscope. For this analysis, 23 flights were selected to obtain data with a variety of sensors and flight conditions. The 23 flights were selected
from each aircraft (eight green, five red, eight blue, and two blue*) and piloting method (11 mixed manual/autonomous and 12 manual only). The
atmospheric temperature and wind speed during the flight were also considered, and the distribution of these conditions is shown in Fig. 3 (left).
The flight envelope with respect to the total velocity determined from GPS measurements and the tilt angle is plotted as a contour in Fig. 3 (right).
The tilt angle is defined as the angle between the aircraft z axis and the local z axis, and it is calculated from the roll and pitch measurements from
the vertical gyroscope, as in
tilt
cos1 cos  cos  (34)

Fig. 2 WVU YF-22 research UAVs.

136 RHUDY ET AL.

Table 1 Inertial measurement unit specifications

IMU WVU YF-22 aircraft Accelerometer Accelerometer Rate gyroscope dynamic Rate gyroscope
dynamic range, g resolution, mg range, deg =s resolution, deg =s
VG400CA-200 Green 10 1.25 200 0.05
DMU(VG400) Red 8 0.25 100 0.05
-100
IMU400CC Blue 10 1.25 200 0.05
-200
ADIS-16405 Blue* 18 3.33 150 0.025

High values of the tilt angle introduce stronger nonlinearity into the attitude estimation. The statistical diversity of the flight data measurements is
summarized in Table 2.

C. Performance Evaluation Metrics

After executing a sensor fusion algorithm, the roll and pitch estimation results were compared with the corresponding vertical gyroscope
measurements over the entire flight from takeoff to landing. The mean of the absolute value and the standard deviation of the errors were
calculated. A scalar cost function J was defined by a weighted average, as in Eq. (35). The weights for this performance metric were selected
such that their sum was unity, equal importance was given to the roll and pitch errors, and less importance was placed on the mean errors
because of potential alignment errors between the IMU and vertical gyroscope. Smaller values of J represent better performance of the attitude
estimation:

J
0:3est  VG   est  VG   0:2meanjest  j  meanjest  VG j (35)

IV. Results
A. Estimation and Computation Performance Comparison
Pitch and roll attitude was estimated for each of the 23 flights using two different assumptions of noise characteristics. The same process and
measurement noise matrices were used for the EKF and UKF within each formulation, i.e., the filters were equivalently tuned. The mean of the
performance cost function J over all flights is shown in Table 3. Within each formulation and estimator, the differences in performance between
additive and nonadditive noise are small. For the three- and twelve-state formulations, the nonadditive noise case presents better performance
results, while the six-state formulation shows a slight advantage in the additive noise case. It can also be seen in Table 3 that the EKF and UKF
obtain very similar performance results for each formulation, especially for the nonadditive case. The nonadditive method was selected for further
analyses because it involves more correct assumptions about the noise characteristics of the system, and it is more intuitive to implement. To
roughly estimate the computational requirements of each of the considered sensor fusion algorithms, the number of floating point operations
(FLOPs) required to process one second of flight data was estimated by manually counting the operations executed in the code. Before counting
the FLOPs required for each of the algorithms, the codes were streamlined to minimize the number of computations fundamentally required by
the algorithm. The sampling rates of the IMU and GPS were considered, since they correspond to the execution of the prediction and update
stages, respectively. In addition to these theoretical estimates, experimental results were collected for each formulation of the required execution
time of the sensor fusion algorithm for the duration of each of the 23 flights. This execution time was measured over the entire length of flight for
each data set. Then, the mean of these 23 execution times were calculated, and the results are shown in Table 4. In general, similar trends are
observed for the FLOP estimates and mean execution times. Note that these estimates are coarse approximations, which were intended only to
give a general idea about computational cost.

Distribution of Flight Conditions Flight Envelope Distribution

6 80 3.5
# of Flights

4 70 3

2 60 2.5
log10(# Samples)
Tilt Angle (deg)

0 50
40 45 50 55 60 65 70 75 80 2
Temperature (F)
40
8 1.5

30
6
# of Flights

4 20
0.5
2
10

0 0
1 3 5 7 9 11 10 20 30 40 50
Wind Speed (mph) Total Velocity (m/s)
Fig. 3 Distribution of flight conditions.
 RHUDY ET AL. 137

Table 2 Summary of flight envelope statistics

Variable Units Minimum Maximum Mean Standard deviation
Velocity m=s 0.00 53.5 31.1 11.5
ax m=s2 26:8 25.8 0.878 1.35
ay m=s2 26:3 42.0 0:145 1.04
az m=s2 70:9 25.5 11:4 3.34
Roll angle,  deg 85:0 56.6 19:4 20.7
Pitch angle,  deg 48:5 38.8 5.33 6.73
p deg =s  205 206 0.586 15.6
q deg =s  100 83.1 4.90 7.17
r deg =s 79:0 65.0 5:32 7.14

Table 3 Attitude estimation performance comparison

Performance cost function, J
Estimator Noise assumption Three-state Six-state Twelve-state
EKF Additive 1.849 1.789 1.701
Nonadditive 1.829 1.795 1.695
UKF Additive 1.851 1.792 1.700
Nonadditive 1.829 1.796 1.695

Table 4 Summary of computational expense

Estimator Noise assumption Number of states Mega-FLOPs, s Executed time, s
EKF Additive 3 0.095 1.30
EKF Nonadditive 3 0.101 1.35
UKF Additive 3 0.371 8.27
UKF Nonadditive 3 1.371 16.07
EKF Additive 6 0.088 1.56
EKF Nonadditive 6 0.104 1.64
UKF Additive 6 0.628 3.97
UKF Nonadditive 6 1.557 7.04
EKF Additive 12 0.468 2.13
EKF Nonadditive 12 0.799 2.25
UKF Additive 12 1.750 27.18
UKF Nonadditive 12 3.015 59.38

B. Comparison of Baseline Results for Individual Data Sets

Baseline results were calculated for the nonadditive noise case of each formulation for each individual data set. The performance results are
summarized in Fig. 4. Figure 4 (left) shows the individual results for each formulation and data set, with a darker shade indicating better
performance, while Fig. 4 (right) illustrates the differences between the EKF and UKF for each formulation. In this figure, a black  indicates
where the UKF yielded better performance, and a white ○ marks where the EKF performed better. Although the differences were minor, both the
EKF and UKF outperformed one another for different data sets. This observation highlights the importance of considering multiple sets of diverse
data for analysis in order to capture the overall performance of each estimator.

C. Sensitivity to Tuning of Process and Measurement Noise Covariance Matrices

The sensitivity of the assumed process and measurement noise covariance matrices, Q and R, can be evaluated using methods similar to those
described in [29,42]. To analyze the effects of changes in these values, two tuning parameters were used. The first tuning parameter 1 adjusts the
ratio of the reliance of the estimation between the prediction and update stages of the nonlinear estimator. Increasing 1 causes the estimation to
rely more on the prediction and less on the update, and vice versa. This form of tuning is achieved by

Q
Q0 ; Rd
1 Rd0 ; Ry
1 Ry0 (36)

Performance Difference Between EKF and UKF

EKF3 2.2 0.08
3 0.06
UKF3 2
Formulation

∆ J (deg)

0.04
# States
J (deg)

EKF6 1.8
6 0.02
UKF6 1.6
0
EKF12 1.4
12 -0.02
1.2
UKF12 -0.04
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
Flight # Flight #
Fig. 4 Performance comparison for individual data sets.
138 RHUDY ET AL.

where the 0 subscripts indicate the baseline covariance matrices. The second tuning parameter 2 adjusts the ratio of the reliance of the estimation
between the IMU and GPS measurements, where increasing 2 causes the estimation to rely more on the IMU measurements and less on the GPS
measurements. This tuning parameter is implemented using

Q
Q0 ; Rd
Rd0 ; Ry
2 Ry0 (37)

Note that for the six- and twelve-state formulations, these two forms of tuning are equivalent, since Rd
0. The tuning parameters were
implemented for each formulation on all 23 flights for EKF and UKF. The performance cost J was normalized by the case of no tuning for each
flight and then averaged over all flights. The mean normalized results are shown in Figs. 5 and 6.
Each of the presented cases in Figs. 5 and 6 show similar responses to tuning between the EKF and UKF, with the exception of small values of
1 in the three-state formulation, where the UKF performance more rapidly degrades as 1 decreases. The similarity between the EKF and UKF
indicates that the two nonlinear estimators are comparable with respect to the selection of Q and R for this application. Since the baseline no-
tuning case lies around the minimum of the performance cost curves (i.e., the performance curves do not go much below 1), the Q and R matrices
are reasonably tuned at baseline for both the EKF and UKF. It is also interesting to notice the flattening trend for decreasing values of 2 , which is
representative of modeling no uncertainty in the GPS velocity measurements. Since the normalized performance levels off at just over 1, the case
of “perfect” GPS velocity yields very reasonable estimation performance. For other sections of this paper, no additional noise covariance tuning
was used (1
2
1).

D. Sensitivity to Sampling Rate

The sampling rates of the IMU and GPS affect the time resolution of the sensor fusion algorithm; in turn, this also affects the quality of the
linearization. The prediction step is executed at the sampling rate of the IMU, and the measurement update occurs at the sampling rate of the GPS.
For the measurement updates to correspond with a prediction, the IMU sampling rate should be a multiple of the GPS sampling rate. Starting with
the baseline sampling rates of 50 Hz for the IMU and 20 Hz for the GPS, each signal was downsampled to appropriate rates in order to analyze the
performance effects of using lower sampling rate hardware (i.e., lower-cost systems). Estimation results were obtained, normalized by the
baseline case of 50 Hz IMU and 10 Hz GPS, and averaged over all 23 flights. To illustrate the results of this analysis, contour plots were generated
for each of the formulations for both EKF and UKF, and they are shown in Figs. 7–9. In general, for each sensor fusion formulation, lowering
either of the sampling rates decreases the attitude estimation performance. Very little difference is shown within each formulation between the
EKF and UKF. This demonstrates the comparable sensitivity of the EKF and UKF in response to changes in IMU and GPS sampling rates, which
is consistent with the conclusions in [4] for the human motion-tracking problem.

E. Sensitivity to Initialization Error

Significant differences between the assumed initial state and the actual initial state could occur in certain applications. Some comparisons have
been made for large initialization errors for sensor fusion [19–22] and tracking [6] problems and found faster convergence in the UKF. To observe this
phenomenon for this specific problem, small (5 deg) and large (60 deg) initial errors were imposed on the pitch state for each of the 23 flights. The
estimation results of these cases were compared to the baseline case of no imposed initialization error. To illustrate the responses of the EKF and UKF
in each formulation, the mean over all flights was calculated of the differences of the pitch angle, and the results are shown in Figs. 10–12. The
preceding plots show that the EKF and UKF converge in a similar manner in response to a small pitch initialization error. For a large pitch
initialization error, however, the EKF shows slightly faster convergence with respect to the UKF for the six- and twelve-state formulations. A similar
analysis was conducted for the initialization error on the roll state, and the same conclusions were reached. The opposite conclusion was reached in
[19–22], where a similar problem was simulated.

F. Sensitivity to Global Positioning System Outages

A practical problem associated with a GPS/INS sensor fusion is the temporary loss of a sufficient number of satellite signals, often referred to as
a GPS dropout or GPS outage [43–48]. During a GPS outage, the presented loosely coupled sensor fusion algorithms rely exclusively on the IMU

3-State Sensitivity to Noise Covariance Tuning 3-State Sensitivity to Noise Covariance Tuning
15
Normalized Cost, J

Normalized Cost, J

EKF 4 EKF
10 UKF UKF
3

5 2

1
0
-10 -5 0 5 10 -10 -5 0 5 10
10 10 10 10 10 10 10 10 10 10
γ1 γ2
Fig. 5 Sensitivity of three-state formulation to noise covariance tuning.

6-State Sensitivity to Noise Covariance Tuning 12-State Sensitivity to Noise Covariance Tuning
Normalized Cost, J

Normalized Cost, J

3 EKF 3 EKF
UKF UKF

2 2

1 1

-10 -5 0 5 10 -10 -5 0 5 10
10 10 10 10 10 10 10 10 10 10
γ γ
Fig. 6 Sensitivity of six-state (left) and twelve-state (right) formulations to noise covariance tuning.
 RHUDY ET AL. 139

3-State EKF 3-State UKF

5 5

GPS Sampling Rate (Hz)

GPS Sampling Rate (Hz)

5 5

Normalized Cost, J
Normalized Cost, J
1 4 1 4

0.5 0.5
3 3

2 2
0.1 0.1
5 10 25 50 5 10 25 50
IMU Sampling Rate (Hz) IMU Sampling Rate (Hz)
Fig. 7 Three-state sampling rate sensitivity of EKF (left) and UKF (right).
6-State EKF 6-State UKF
5 4 5 4
GPS Sampling Rate (Hz)

GPS Sampling Rate (Hz)

Normalized Cost, J

Normalized Cost, J
3.5 3.5

1 1
3 3
0.5 0.5
2.5 2.5

2 2
0.1 0.1
5 10 25 50 5 10 25 50
IMU Sampling Rate (Hz) IMU Sampling Rate (Hz)
Fig. 8 Six-state sampling rate sensitivity of EKF (left) and UKF (right).
12-State EKF 12-State UKF
5 4 5 4
GPS Sampling Rate (Hz)

GPS Sampling Rate (Hz)

Normalized Cost, J

Normalized Cost, J
3.5 3.5

1 3 1 3
0.5 0.5
2.5 2.5

2 2
0.1 0.1
5 10 25 50 5 10 25 50
IMU Sampling Rate (Hz) IMU Sampling Rate (Hz)
Fig. 9 Twelve-state sampling rate sensitivity of EKF (left) and UKF (right).

3-State Initialization Error 3-State Initialization Error

6 60
EKF EKF
4 UKF 40 UKF
∆θ (deg)

∆θ (deg)

2 20

0 0
0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20
Time (s) Time (s)
Fig. 10 Three-state response to small (left) and large (right) initialization error.
6-State Initialization Error 6-State Initialization Error
6 60
EKF EKF
4 UKF 40 UKF
∆θ (deg)
∆θ (deg)

2 20

0 0
0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20
Time (s) Time (s)
Fig. 11 Six-state response to small (left) and large (right) initialization error.
12-State Initialization Error 12-State Initialization Error
6 60
EKF EKF
4 UKF 40 UKF
∆θ (deg)

∆θ (deg)

2 20

0 0
0 2 4 6 8 10 12 14 16 18 20 0 2 4 6 8 10 12 14 16 18 20
Time (s) Time (s)
Fig. 12 Twelve-state response to small (left) and large (right) initialization error.
140 RHUDY ET AL.

Vertical Gyroscope (VG) Attitude at Start of GPS Outage

60

40

20

φ VG (deg)
0

-20

-40

-60

-80
-20 -15 -10 -5 0 5 10 15 20 25
θ VG (deg)
Fig. 13 Attitude envelope at start of GPS outages.

measurements, thus performing dead-reckoning estimation. To simulate this phenomenon, 30 s GPS outages were artificially imposed on the real
flight data at 1, 3, and 5 min. after takeoff. Although these times were selected arbitrarily, the state of the aircraft at these times differs from flight to
flight. The roll and pitch angles as measured from the vertical gyroscope at the start of each GPS outage for all of the flights are shown in Fig. 13.
As was done for the initialization error analysis of the previous section, the estimation results of each sensor fusion algorithm with imposed GPS
outages were compared with the baseline estimation results. The mean of the differences of the pitch angle for all 23 flights was calculated, and the
results are shown in Figs. 14–16. The plots on the left show the average differences in the pitch estimations over the entire flight durations; the
plots on the right display the average convergence effects for each time period immediately following a GPS outage. It is shown in these figures
that, in general, the EKF and UKF respond similarly during GPS outages. This is an indication that the prediction stages of the EKF and UKF have
very similar performances. Immediately following GPS outages, it is shown that, for the six-state and twelve-state formulations, the EKF and
UKF converge at comparable rates. However, the three-state formulation shows some difference between the EKF and UKF.

G. Robustness to Additive and Multiplicative Uncertainty in Inertial Measurement Unit Measurements

To analyze the robustness of the different formulations for EKF and UKF, a 250-point Monte Carlo simulation was conducted. In particular,
artificial bias and scale factor terms were generated from a uniform distribution across a specified range of values. These terms were applied to a
single component of the IMU measurements, and then attitude estimation performance results were calculated for each formulation on a single
set of flight data. This process was repeated using different Monte Carlo sampling for each component of the IMU measurements: ax~ , ay~ , az~ , p, q,

3-State Sensitivity to GPS Outages 3-State GPS Outage Convergence

1 1
EKF
0
0 UKF
∆θ (deg)

∆θ (deg)

-1
GPS Outage
EKF -1
-2
UKF
-3 -2
0 100 200 300 400 500 600 0 10 20 30 40 50 60
Time (s) Time (s)
Fig. 14 Response of the three-state formulation to GPS outages.

6-State Sensitivity to GPS Outages 6-State GPS Outage Convergence

1 1
EKF
0
0.5 UKF
∆θ (deg)
∆θ (deg)

-1 GPS Outage
EKF 0
-2
UKF
-3 -0.5
0 100 200 300 400 500 600 0 10 20 30 40 50 60
Time (s) Time (s)
Fig. 15 Response of the six-state formulation to GPS outages.

12-State Sensitivity to GPS Outages 12-State GPS Outage Convergence

1 0.2
EKF
0.1
0 UKF
∆θ (deg)

∆θ (deg)

GPS Outage 0
-1 EKF
-0.1
UKF
-2 -0.2
0 100 200 300 400 500 600 0 10 20 30 40 50 60
Time (s) Time (s)
Fig. 16 Response of the twelve-state formulation to GPS outages.
 RHUDY ET AL. 141

EKF6 UKF6
3 4.5 3 4.5

4 4
2 2

3.5 3.5
1 1

Normalized Cost, J

Normalized Cost, J
p Bias (deg/s)

p Bias (deg/s)
3 3

0 0
2.5 2.5

-1 -1
2 2

-2 1.5 -2 1.5

-3 1 -3 1
0.5 1 1.5 0.5 1 1.5
p Scale Factor p Scale Factor
Fig. 17 Performance response to bias and scale factor on roll rate for EKF (left) and UKF (right).

and r. The performance cost J was calculated for each Monte Carlo point, and it was then normalized by the baseline case of no artificial bias or
scale factor terms. An example illustration is shown in Fig. 17 of the six-state formulation normalized cost corresponding to artificial bias and
scale factor terms on the p measurement.
Similar overall trends are shown in Fig. 17 between the EKF and UKF. As expected, adjusting the scale factor or bias decreases the performance
for both the EKF and UKF. To quantify and compare the overall effect of this analysis for the EKF and UKF, the mean of the normalized
performance cost for all Monte Carlo points was calculated for each formulation and each IMU component. The percent difference between the
EKF and UKF values was evaluated, and the results are summarized in Fig. 18. Only one of the cases (marked with ○) showed slightly better
performance of the EKF, while the remaining cases showed varying degrees of performance advantage for the UKF. This demonstrates that, in
general, the UKF is more robust to bias and scaling of the IMU measurements in this application.

H. Comparison of Linearization Techniques

To analyze the differences in the linearization technique of the EKF and UKF, the Hessian norms can be calculated to quantify the nonlinearity
of the states as a function of time. A single set of flight data was selected for this analysis to provide a single illustrative example to demonstrate the
differences in the linearization techniques of the EKF and UKF. The nonlinearity of the attitude states is quantified by taking the sum of the norms
of the Hessian matrices corresponding to each of the three attitude states. In Fig. 19, the values (left) and distribution (right) of this sum are shown.
The sum of the Hessian norms for the attitude states can be used to locate discrete time steps that contain high levels of nonlinearity in the attitude.
For this single set of flight data, the time step containing the highest level of nonlinearity of the attitude states was determined from

% Difference in Normalized Cost, J (deg)

# States in Formulation

50
3
40
% Difference

30
6
20
10
12 0

ax ay az p q r
Altered IMU Component
Fig. 18 Comparison of performance of EKF and UKF for IMU bias and scaling.

Quantification of Nonlinearity in Attitude States Sum of Attitude Hessian Norms Histogram

5000
Sum of Attitude Hessian Norms

0.2
4000
# of Data Points

0.15
3000

0.1
2000

0.05 1000

0 0
0 50 100 150 200 250 300 350 400 450 500 0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18 0.2
Time (s) Sum of Attitude Hessian Norms
Fig. 19 Quantification of nonlinearity in attitude states using Hessian norms.
142 RHUDY ET AL.

Table 5 Comparison of nonlinearity of prediction

Prediction estimator
deg
,
deg
,
, deg P , deg2 P , deg2 P , deg2 P , deg2 P , deg2 P , deg2
A priori conditions 43:18 29.51 181.75 0.0567 0.0263 0.1767 0.0024 0.0365 0.0006
EKF 43:75 29.23 181.44 0.0564 0.0263 0.1463 0.0024 0.0360 0.0006
UKF 43:75 29.23 181.44 0.0564 0.0263 0.1463 0.0024 0.0360 0.0006
Monte Carlo 43:75 29.23 181.44 0.0564 0.0263 0.1460 0.0024 0.0359 0.0006

the maximum of the attitude Hessian norm sum, occurring at approximately 288.5 s into the flight, as demonstrated in Fig. 19. At this time step,
the accuracy of the linearization technique is especially important. Based on its theoretical derivation, the UKF claims more accurate linearization
than the EKF [1]. To analyze the accuracy of linearization of each filter, at the selected time step, the a priori information about the mean and
covariance of the state is considered for the prediction stage of each filter. A Monte Carlo simulation about the a priori information for each filter is
used to predict the a posteriori mean and covariance to establish an approximate truth. Additionally, the EKF and UKF linearization techniques
are used to obtain the a posteriori mean and covariance. The results of this analysis are presented in Table 5. The mean values are given in degrees,
while the covariance values are given in degrees squared. It is shown in Table 5 that the EKF and UKF are both linearizing very closely to the
Monte Carlo simulation for the prediction stage. This demonstrates that, even for the highest case of nonlinearity of the attitude states, the EKF
and UKF exhibit similar levels of performance in terms of linearization.

V. Conclusions
This paper presented a sensitivity analysis of the nonlinear state estimation problem using three different Global Positioning System (GPS)/
inertial navigation system sensor fusion attitude estimation formulations with both the extended Kalman filter (EKF) and unscented Kalman filter
(UKF). Two different noise assumptions, additive and nonadditive noise, were considered and compared. Although little differences were found
in the baseline case, the nonadditive noise assumptions were used because they provide a more intuitive model of the noise in the system. The
tuning of the process and measurement noise covariance matrices showed a similar impact on the performance for both the EKF and UKF, which
indicated similar requirements on tuning for a problem that does not contain strong nonlinearity, and demonstrated that the baseline case was well-
tuned for all formulations. Additionally, the EKF and UKF showed similar responses to changes in the sampling rate. The EKF showed slightly
faster convergence than the UKF in response to large initialization error and a similar response to the UKF for small initialization error. Only small
differences were found in response to convergence after GPS outages, which were most apparent in the three-state formulation. Through
Monte Carlo simulations, the UKF demonstrated greater robustness to bias and scale factors on the inertial measurement unit measurements than
the EKF. Using the Hessian to locate the time of greatest nonlinearity of the attitude states, the linearization of the prediction stage of the EKF and
UKF were both found to be similarly close to their corresponding Monte Carlo estimation of predicted mean and covariance. Overall, in most
cases, the EKF and UKF had similar levels of performance for all three considered formulations. The EKF is recommended for use in real-time
applications when computation requirement is important, while the UKF is recommended for offline applications due to its ease of
implementation and lack of Jacobian calculations.

Acknowledgment
This research was partially supported by NASA grants NNX07AT53A and NNX10AI14G.

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A. Srivastava
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