An improved unscented Kalman filter algorithm based on QR decomposition

The principle of extended Kalman filter (EKF), unscented Kalman filter (UKF) algorithm, and unscented transformation (UT) is studied. To simply the process of obtaining sigma points in UKF, an improved UKF algorithm is mentioned in this chapter. The theory formulation and computer simulation have been done for the comparison of these three nonlinear Kalman filters. Results show that all of them can accomplish the estimation task, but the improved UKF has higher accuracy and less computation cost than the other two.