2018 14th International Scientific-Technical Conference APEIE – 44894

An Adaptive Unscented Kalman Filter Approach

for State Estimation of Nonlinear Continuous-
Discrete System
Oksana S. Chernikova
Novosibirsk State Technical University, Novosibirsk, Russia

Abstract — The paper presents algorithms for solving the
nonlinear filtering problem using an unscented Kalman filter
and an adaptive unscented Kalman filter. Detailed of algorithm
adaptive unscented Kalman filter is provided. Step-by-step
schemes of filtering algorithms on the basis of which the
corresponding software is developed are given. Efficiency of
nonlinear filtering algorithms application is investigated on the
example of nonlinear continuous-discrete model. . Simulations
conducted on the model structure of dynamic system indicate
that the adaptive unscented Kalman filter is superior to the
conventional standard unscented Kalman filter in terms of
estimation accuracy and stability.
Index Terms — Continuous-discrete model, nonlinear filtering,
adaptive unscented Kalman filter, noise statistic estimator.
I. INTRODUCTION
One of the possible solutions to this problem is the use of
adaptive methods for processing measurement data [7-9],
which, along with the estimation of the state vector, can
restore the statistical characteristics of noises.
In this paper, an adaptive unscented Kalman Filter (AUKF)
with noise statistic estimator is proposed for the estimation of
nonlinear systems.
II. PROBLEM DEFENITION
Consider the following Gaussian model of stochastic
nonlinear continuous-discrete system in the state space:
d
x(t ) = f ( x(t ), u (t )) + g (t ) w(t ), t ∈ [t0 , t N ], (1)
dt
y(tk +1 ) = h( x(tk +1 ),υ(tk +1 )), k = 0,1,.., N −1. (2)

I N PRACTICE, it is often necessary to work with different

classes of nonlinear dynamical systems. The description of
the system by nonlinear mathematical models provides the
researcher with additional possibilities in qualitative analysis
of objects and allows to take into account the accompanying
factors caused by the nonlinear nature of the laws of nature.
In the case of a description of the system by stochastic
nonlinear models in the space of states with random
Gaussian noises it is customary to use the extended Kalman
filter (EKF) [1,2] and unscented Kalman filter (UKF) [3-5].
At present, the most popular state estimator for nonlinear
system is the EKF. Although widely used, EKF have some
deficiencies. Filter applies the standard linear Kalman filter
methodology to a linearization of the nonlinear model and
requires of the sufficient differentiability of the state
dynamics and a susceptibility to bias and divergence in the
state estimates. This approach is sub-optimal, and can easily
lead to divergence.
S.J. Julier et al.[6] proposed the unscented Kalman filter as
a derivative-free alternative to the extended Kalman filter in
the framework of state estimation. The UKF has the same
computational complexity with the EKF. Since the nonlinear
models are used without linearization. The UKF does not
Here x ( tk ) is the state vector; u ( tk ) is deterministic
control (input) vector; w ( tk ) is the process noise vector;
y ( tk +1 ) is the measurement (output) vector; υ ( tk +1 ) is the
measurement error vector; f (⋅), g (⋅) , h(⋅) are nonlinear
functions.
Suppose that
• the random vectors w(t ) and υ ( tk +1 ) form
stationary white Gaussian sequences with
Ε [ w(t )] = 0 , Ε  w(t ) wT (τ )  = Q (t )δ (t − τ );
Ε [υ (tk +1 )] = 0 , Ε υ (tk +1 )υ T (ti +1 )  = R (tk +1 )δ k ,i ;
Ε υ (tk +1 ) wT (τ )  = 0, k , i = 0,1,.., N − 1, τ ∈ [t0 , t N ].
• the initial state x ( t0 ) is normally distributed with
parameters
Ε  x ( t0 )  = x ( t0 ) ,
{
Ε  x ( t0 ) − x ( t0 )   x ( t0 ) − x ( t0 ) 
T
} = Ρ (t )
0

need to calculate Jacobians and can achieve the second-order and is uncorrelated with w(t ) , υ ( tk +1 ) for all values of k ;
accuracy of Taylor expansion.
For the mathematical model (1), (2), taking into account
Usually the initial covariance matrices of system and
the listed a priori assumptions, it’s necessary to compare the
measurements noises are selected by analyzing some
quality of UKF and AUKF algorithms to solve the problem
empirical data or by modeling various situations. The correct of state estimation.
specification of the statistical noise parameters largely
determines the accuracy of the state vector estimation.

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III. THEORY d
P ( t | tk ) = X S (t )WX f (t ) + X f (t )W ( X S (t ))T +
The Unscented Kalman Filter belongs to a bigger class of dt
filters called Sigma-Point Kalman Filters, which are using + g (t )Qˆ (t ) gT (t )
the statistical linearization technique. This technique is used
to linearize a nonlinear function of a random variable with initial conditions xˆ(tk | tk ), P (tk | tk ) and Qˆ (t k ) for
through a linear regression between points drawn from the tk ≤ t ≤ tk +1 .
prior distribution of the random variable.
Update:
The following AUKF uses the Sage-Husa algorithm to
estimate the unknown noise [7], and estimates and corrects • Find sigma points X S (tk +1 )
the process noise statistical characteristics in real time to  xˆ (tk +1 | tk )   0 
reduce the state estimation error.  xˆ(t | t )   D 
Initialization:  k +1 k   1 
• Set initial values      
α = 0.0001, β = 2, b = 0.998,    
X S (tk +1 ) =  xˆ (tk +1 | tk )  + ( L + λ )  DL  ,
 
xˆ(t0 | t0 ) = x (t0 ), P(t0 | t0 ) = P (t0 ), Q(t0 ), R (t1 ) .  xˆ (tk +1 | tk )   −D 
• Calculate    1
     
λ    
λ = α 2 L − L; W0( m ) = ,  xˆ(tk +1 | tk )   − DL 
L+λ
where Di – i -th row of the lower triangular matrix obtained
λ
W0( c ) = + (1 − α 2 + β ), by the Cholesky decomposition P (tk +1 | tk ) .
L+λ
1 • Calculate
Wi ( m ) = Wi ( c ) = , i = 1,.., 2 L.
2( L + λ ) Y h (tk +1 ) =  h( X 0s (tk +1 ),0),  , h( X 2sL (tk +1 ),0)  .
ωm = [W0( m ) ,...,W2(Lm ) ], • Find
1− b
W = (I − [ωm ,...,ωm ]) × diag (W0(c) ,...,W2(Lc) ) × (I − [ωm ,...,ωm ])T , dk = ;
1 − b k +1
where L – dimension state vector.
Time update k = 0, N − 1 ε (tk +1 ) = y(tk +1) − Y h (tk +1)ωmT ;
Predict: Rˆ (tk +1 ) = (1 − d k ) Rˆ (tk ) + d k (ε (tk +1 )ε T (tk +1 ) −
• Calculate sigma points X S (t ) in accordance with 2L

formula: −Wi(c) (Yih (tk+1) −Y h (tk+1)ωmT )(Yih (tk+1) −Y h (tk +1)ωmT )T );

i=0
 xˆ(t | tk )   0  
 xˆ(t | t )   D  PY (tk +1 ) = Y h (tk +1 )W (Y h (tk +1 ))T + R (tk +1 ),
 k   1 
      PXY (tk +1 ) = X S (tk +1 )W (Y h (tk +1 ))T .
   
X S (t ) =  xˆ (t | tk )  + ( L + λ )  DL  , • Given these predicted values the state xˆ(tk +1 | tk +1 ) and
 xˆ(t | tk )   − D1 
    covariance estimates P(tk +1 | tk +1 ) are computed according
      to the equations
 xˆ(t | t )  − D 
 k   L K (tk +1 ) = PXY (tk +1 )PY−1 (tk +1 );
where Di – i -th row of the lower triangular matrix obtained xˆ(tk +1 | tk +1) = xˆ(tk +1 | tk ) + K (tk +1 )ε (tk +1 );
by the Cholesky decomposition P (t | tk ) .
P(tk +1 | tk +1 ) = P(tk +1 | tk ) − K (tk +1 ) PY (tk +1 ) K T (tk +1 );
• The transformed set of vectors are given by
Qˆ (t ) = (1 − d )Qˆ (t ) +
X f (t ) =  f ( X 0s (t ), u (t )), , f ( X 2s L (t ), u (t ))  , k +1 k k

X is (t ) – i -th sigma point. +dk ( K (tk +1 )ε (tk +1 )ε T (tk +1 ) K T (tk +1 ) + P(tk +1 | tk +1 ) −

2L
• Define xˆ(tk +1 | tk ) and P (tk +1 | tk ) as the result of −Wi ( c ) ( f ( X is (tk +1 ), u (tk +1 )) − xˆ (tk +1 | tk )) ⋅
integration (for tk +1 ) of differential equations i =0

d ⋅( f ( X is (tk +1 ), u (tk +1 )) − xˆ (tk +1 | tk ))T ).

xˆ ( t | tk ) = X f (t )ωmT ,
dt

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2018 14th International Scientific-Technical Conference APEIE – 44894

IV. EХPERIMENTAL RESULT

Consider the following model of stochastic nonlinear
continuous-discrete dynamic system:
d
x(t ) = − sin( x(t )) + w(t ), t ∈ [0,1],
dt
y(tk +1 ) = 0.5sin(2 x(tk +1 )) + v(t ), k = 0,1,...,99.
All listed a priori assumptions from section II are satisfied
so that

Ε [ w(t )] = 0 , Ε  w(t ) wT (τ )  = 0.01δ (t − τ );

y ср ( t k + 1 ) , yср ( tk +1 )
*
Fig. 1. Graphical representation and
Ε  x ( t0 )  = 0 , {
Ε  x( t0 ) − x( t0 ) 
T
}
x( t0 ) − x ( t0 )  = 0.1.

ŷср ( tk +1 ) (test 1, UKF).
We give the initial approximation R (t0 ) = 0.02 ,

Q(t0 ) = 0.01 . Realizations of output signal we will get by
the computer modeling. We simulate a sample of
measurements for
- R (tk +1 ) = 0.02, ∀ t k +1 (test 1),

1δk ,i ,t j ∈{25,29,45,46,52,53,64,88,95,96} ;
- R ( tk +1 ) = 
 0.02δk ,i ,otherwise,
(test 2),

1δk ,i ,t j ∈{31,32,33,34,35,36,37,38,39,40} ;
- R ( tk +1 ) = 
y ср ( t k + 1 ) , yср ( tk +1 )
*
 0.02δk ,i ,otherwise, Fig. 2. Graphical representation and

(test 3). ŷср ( tk +1 ) (test 1, AUKF).

The quality of nonlinear filtering will be judged by values
of factors δ Y :
* 
|| yср − yср ||
δY =  .
|| yср ||
*
yср (tk +1 ) – averaged true (actual) measurement vector at

time point tk +1 ; yср (tk +1 ) – the estimation of the averaged
measurement vector at the time tk +1 .
Numerical results of nonlinear filtering using UKF, and
AUKF will be presented in the Tab. I and Figs. 1-6.

y ср ( t k + 1 ) , yср ( tk +1 )
*
TABLE I Fig. 3. Graphical representation and
NUMERICAL RESULTS OF NONLINEAR FILTERING
ŷср ( tk +1 ) (test 2, UKF).
UKF AUKF

Test 1 0.1676 0.1660

Test 2 0.1916 0.1761
Test 3 0.1967 0.1776

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 XIV Международная научно-техническая конференция АПЭП – 2018
y ср ( t k + 1 ) , yср ( tk +1 )
*
Fig. 4. Graphical representation and
ŷср ( tk +1 ) (test 2, AUKF).
y ср ( t k + 1 ) , yср ( tk +1 )
* Control – October, 2007. P. 11.
Fig. 5. Graphical representation and
ŷср ( tk +1 ) (test 3, UKF).
y ср ( t k + 1 ) , yср ( tk +1 )
*
Fig. 6. Graphical representation and
ŷср ( tk +1 ) (test 3, AUKF).
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ACKNOWLEDGMENT
The work is executed under the auspices of the Ministry of
education and science of the Russian Federation (project №
№ 2.7996.2017/8.9).
V. CONCLUSION
In this paper, an AUKF with noise statistic estimator is
proposed for the estimation of nonlinear continuous-discrete
systems. This improves the robustness of conventional UKF
with respect to the variable noise distribution in the real
system. Simulations between the conventional UKF and the
AUKF are carried out. The results prove that, in the situation
of uncertain or time-varying noise statistic, the adaptive UKF
outperforms the conventional UKF in terms of the fast
convergence and state estimation accuracy by applying noise
statistic estimator to tune the noise statistic.
Both theoretical analysis and experimental results show
that the proposed AUKF algorithm is superior to the standard
UKF algorithm in estimating performance and stability.
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Russian)
Chernikova Oksana S. was born in 1980, PhD,
associate professor of the department of the
theoretical and applied informatics,
Novosibirsk State Technical University. Her
research has been concentrated on the areas of
active identification of stochastic dynamic
system. She has authored or coauthored over
35 journal and conference papers.