A New Framework for Nonlinear Kalman Filters

Abstract: The Kalman filter (KF) is a state estimation algorithm that optimally combines system knowledge and measurements to minimize the mean squared error of the estimated states. While KF was initially designed for linear systems, numerous extensions of it, such as extended Kalman filter (EKF), unscented Kalman filter (UKF), cubature Kalman filter (CKF), etc., have been proposed for nonlinear systems over the last sixty years. Although different types of nonlinear KFs have different pros and cons, they all use the same framework of linear KF. Yet, according to our theoretical and empirical analysis, the framework tends to give overconfident and less accurate state estimations when the measurement functions are nonlinear. Therefore, in this study, we designed a new framework that can be combined with any existing type of nonlinear KFs and showed theoretically and empirically that the new framework estimates the states and covariance more accurately than the old one. The new framework was tested on four different nonlinear KFs and five different tasks, showcasing its ability to reduce estimation errors by several orders of magnitude in low-measurement-noise conditions. The codes are available at https://github.com/Shida-Jiang/A-new-framework-for-nonlinear-Kalman-filters