This paper points out the flaws in using the EKF, and introduces an improvement, the Unscented Kalman Filter (UKF), proposed by Julier and Uhlman . A central and vital operation performed in the Kalman Filter is the propagation of a Gaussian random variable (GRV) through the system dynamics. In the EKF, the state distribution is approximated by a GRV, which is then propagated analytically through the first-order linearization of the nonlinear system. This can introduce large errors in the true posterior mean and covariance of the transformed GRV, which may lead to sub-optimal performance and sometimes divergence of the filter. The UKF addresses this problem by using a deterministic sampling approach. The state distribution is again approximated by a GRV, but is now represented using a minimal set of carefully chosen sample points. These sample points completely capture the true mean and covariance of the GRV, and when propagated through the true non-linear system, captures the posterior mean and covariance accurately to the 3rd order (Taylor series expansion) for any nonlinearity. The EKF, in contrast, only achieves first-order accuracy. Remarkably, the computational complexity of the UKF is the same order as that of the EKF.
Julier and Uhlman demonstrated the substantial performance gains of the UKF in the context of state-estimation for nonlinear control. Machine learning problems were not considered. We extend the use of the UKF to a broader class of nonlinear estimation problems, including nonlinear system identification, training of neural networks, and dual estimation problems. Our preliminary results were presented in . In this paper, the algorithms are further developed and illustrated with a number of additional examples.