关键词: 非局部采样, 数值积分准则, 正交变换, CKF算法

Abstract: In order to solve the nonlocal sampling problem inherent in CKF for high dimensional problems, a new methodology based on orthogonal matrix is proposed in this paper. The performance of the UT is analyzed based on the multi-dimensional Taylor series, to illustrate that even the problem of numerical instability of UKF can be solved by CKF, but the nonlocal sampling problem is introduced. Through the orthogonal matrix the new algorithm named ICKF is proposed in this paper. It is proved theoretically that ICKF has higher estimation accuracy than CKF in the high-dimentional and strongly nonlinearity situation, where local sampling problems is prominent. Simulation example verifies the effectiveness of the proposed algorithm.

Key words: nonlocal sampling problem, numerical integration formulas, orthogonal transformation, CKF algorithm