Comparison of Estimation Accuracy of EKF, UKF and PF Filters

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Abstract

Several types of nonlinear filters (EKF – extended Kalman filter, UKF – unscented Kalman filter, PF – particle filter) are widely used for location estimation and their algorithms are described in this paper. In the article filtering accuracy for non-linear form of measurement equation is presented. The results of complex simulations that compare the quality of estimation of analyzed non-linear filters for complex non-linearities of state vector are presented. The moves of maneuvering object are described in two-dimensional Cartesian coordinates and the measurements are described in the polar coordinate system. The object dynamics is characterized by acceleration described by the univariate non-stationary growth model (UNGM) function. The filtering accuracy was evaluated not only by the root-mean-square errors (RMSE) but also by statistical testing of innovations through the expected value test, the whiteness test and the WSSR (weighted sum squared residual) test as well. The comparison of filtering quality was done in the MATLAB environment. The presented results provide a basis for designing more accurate algorithms for object location estimation.

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