Constrained State Estimation for Nonlinear Systems with Non-Gaussain Noise

Abstract

This paper addresses a state-estimation problem for nonlinear systems with non-Gaussian noise and an interval constraint on the state vector. We propose new efficient algorithms, which are based on Unscented Kalman filter(UKF) and Ensemble Kalman filter(EnKF). We use Truncated UKF in Gaussian sum filter(GSF) framework, which is named Constrained Unscented GSF. And we proposed an Efficient constrained EnKF, which does not require to solve complex optimization problem like a conventional method. The validity of the proposed methods is illustrated in numerical examples.