An aperiodic phenomenon of the unscented Kalman filter in filtering noisy chaotic signals  

作　　者：Fan Hongjuan Feng jiuchao Xie Shengli Wang Shiyuan 

机构地区：[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

出　　处：《Progress in Natural Science:Materials International》2007年第10期1235-1240,共6页自然科学进展·国际材料（英文版）

基　　金：Supported by National Natural Science Foundation of China (Grant No 60572025);the Program Foundationfor New Century Excellent Talentsin Chinese University (Grant No NCET-04-0813);the Key Project Foundation of the Education Ministry of China (Grant No 105137);the Natural Science Foundation of Guangdong Province , China (Grant Nos 04205783 ,05006506 ,07006496)

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.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 ape- riodically. 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.

关 键 词：CHAOS unscented Kalman filter Lyapunov exponents aperiodicity. 

分 类 号：TN911.7[电子电信—通信与信息系统]