| An aperiodic phenomenon of the unscented Kalman filter in filtering noisy chaotic signals |
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| 引用本文： | Fan Hongjuan,Feng Jiuchao,Xie Shengli and Wang Shiyuan. An aperiodic phenomenon of the unscented Kalman filter in filtering noisy chaotic signals[J]. 自然科学进展(英文版), 2007, 17(10): 1235-1240 |
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| 作者姓名： | Fan Hongjuan Feng Jiuchao Xie Shengli and Wang Shiyuan |
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| 作者单位： | 1. Faculty of Electronic and Information Engineering，Southwest University，Chongqing 400715，China; 2. School of Electronic and Information Engineering，South China University of Technology，Guangzhou 510641，China |
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| 基金项目： | 国家自然科学基金;教育部跨世纪优秀人才培养计划;教育部科学技术研究项目;广东省自然科学基金 |
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| 摘 要： | A non-periodic oscillatory behavior of the unscented Kalman filter (UKF) when used to filter noisy contaminated chaotic signals is reported. We show both theoretically and experimentally that the gain of the UKF may not converge or diverge but oscillate aperiodically. More precisely, when a nonlinear system is periodic, the Kalman gain and error covariance of the UKF converge to zero. However, when the system being considered is chaotic, the Kalman gain either converges to a fixed point with a magnitude larger than zero or oscillates aperiodically.
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An aperiodic phenomenon of the unscented Kalman filter in filtering noisy chaotic signals |
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| Fan Hongjuan,Feng Jiuchao,Xie Shengli and Wang Shiyuan. An aperiodic phenomenon of the unscented Kalman filter in filtering noisy chaotic signals[J]. Progress in Natural Science, 2007, 17(10): 1235-1240 |
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| Authors: | Fan Hongjuan Feng Jiuchao Xie Shengli Wang Shiyuan |
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| Abstract: | A non-periodic oscillatory behavior of the unscented Kalman filter (UKF) when used to filter noisy contaminated chaotic signals is reported. We show both theoretically and experimentally that the gain of the UKF may not converge or diverge but oscillate aperiodically. More precisely, when a nonlinear system is periodic, the Kalman gain and error covariance of the UKF converge to zero. However, when the system being considered is chaotic, the Kalman gain either converges to a fixed point with a magnitude larger than zero or oscillates aperiodically. |
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| Keywords: | chaos unscented Kalman filter Lyapunov exponents aperiodicity. |
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