Solved – the Unscented Kalman Filter

Question

What is the Unscented Kalman Filter and when is it used in preference to other types of filters?

edit: I find the Wikipedia explanation a bit too technical to be readily understood.

Answer 1

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The Unscented Kalman Filter is a type of non linear Kalman filter. (ie when the transition and observation functions are non linear) If these functions are differentiable, one can simply use the Extended Kalman Filter (EKF). But when the functions are highly non linear, one might need to use an Unscented Kalman Filter (UKF), which is based on the Unscented transform.

The original paper introducing UKF is here.

Modify your question if you have something more precise to ask. What don't you understand in the UKF?