Abstract:

The modified iterated Kalman filter, which will be called MIKF for brevity, is derived from the modified Newton method to approximate a maximum likelihood estimate. The MIKF is also obtained by an iteration scheme for the extended Kalman filter equations. A convergence analysis of the MIKF is given. By the damping method, we can reduce the total CPU time needed to estimate the state variables or may even obtain a convergent scheme when the MIKF diverges. A numerical example shows the effective convergence behavior of the damped MIKF.