Moment-Based Kalman Filter: Nonlinear Kalman Filtering with Exact Moment Propagation
Yutaka Shimizu,Ashkan Jasour,Maani Ghaffari,Shinpei Kato,Yutaka Shimizu,Ashkan Jasour,Maani Ghaffari,Shinpei Kato
This paper develops a new nonlinear filter, called Moment-based Kalman Filter (MKF), using the exact moment propagation method. Existing state estimation methods use linearization techniques or sampling points to compute approximate values of moments. However, moment propagation of probability distributions of random variables through nonlinear process and measurement models play a key role in the...
