Observation-centered Kalman filters

Abstract: Various methods have been proposed for the nonlinear filtering problem, including the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF), unscented Kalman filter (UKF) and iterated unscented Kalman filter (IUKF). In this paper two new nonlinear Kalman filters are proposed and investigated, namely the observation-centered extended Kalman filter (OCEKF) and observation-centered unscented Kalman filter (OCUKF). Although the UKF and EKF are common default choices for nonlinear filtering, there are situations where they are bad choices. Examples are given where the EKF and UKF perform very poorly, and the IEKF and OCEKF perform well. In addition the IUKF and OCUKF are generally similar to the IEKF and OCEKF, and also perform well, though care is needed in the choice of tuning parameters when the observation error is small. The reasons for this behaviour are explored in detail.