An Augmented Cubature Kalman Filter for Nonlinear Dynamical Systems with Random Parameters

In this paper, we investigate the Bayesian filtering problem for discrete nonlinear dynamical systems which contain random parameters. An augmented cubature Kalman filter (CKF) is developed to deal with the random parameters, where the state vector is enlarged by incorporating the random parameters. The corresponding number of cubature points is increased, so the augmented CKF method requires more computational complexity. However, the estimation accuracy is improved in comparison with that of the classical CKF method which uses the nominal values of the random parameters. An application to the mobile source localization with time difference of arrival (TDOA) measurements and random sensor positions is provided where the simulation results illustrate that the augmented CKF method leads to a superior performance in comparison with the classical CKF method.