关键词: 非线性滤波, 有色噪声, 高阶容积准则

Abstract: In order to overcome the problem that high-degree cubature Kalman filter decreases in accuracy with colored measurement noise, an improved high-degree cubature Kalman filter is presented in the paper. The first-order Markov model is used to whiten the colored measurement noise, then the nonlinear discrete stochastic system with colored measurement noise is transformed into a nonlinear time-delay system with normal white noise. The frame of Bayesian filter is derived in allusion to the whitened nonlinear time-delay system in Gaussian domain. High-degree cubature rule is applied in calculating the above frame to deduce the improved high-degree cubature Kalman filter with colored measurement noise. A maneuvering target tracking problem is used to test the performance of presented filter. The simulation results indicate that the improved high-degree cubature Kalman filter has the same accuracy as standard ones in the system with normal white Gaussian noise, has better accuracy and robustness when the measurement noise is colored.

Key words: nonlinear filtering, colored noise, high-degree cubature rule