In this study, a new input estimation method is proposed for targets with non-linear dynamics and unknown inputs (manoeuvres), where measurement model is corrupted with both additive and multiplicative noises. First, the authors proposed an innovative model by adding unknown inputs as a new state to the original state vector and constructed an augmented state vector. Therefore, manoeuvring model turns into a non-manoeuvring model. The proposed model does not need any manoeuvre detection stage procedure but it causes a correlation between the process and measurement noises. Subsequently, the authors modify the augmented model to deal with the cross-correlation problem. Finally an augmented extended Kalman filter scheme is proposed, which unlike the most existing literature, it can estimate unknown inputs as quickly as possible and copes with the multiplicative noises and the cross-correlation problem. The efficiency of the proposed method is demonstrated in computer simulations for a manoeuvring target with non-linear dynamics through Monte-Carlo simulation.
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