The SDC Kalman Filter for Nonlinear System with Uncertainty in Initial Conditions

The paper examines a state estimation problem for nonlinear system with uncertainty in initial conditions. The state estimation is based on the information incoming on a finite time interval. The resulting SDC observer is achieved by combining the standard Kalman filter (KF) with the technique of the state-dependent differential Riccati equation (SDDRE). Based on the proposed method, a nonlinear SDC KF is obtained. A modification of the SDC KF is also proposed - a diffuse SDC KF. An example of the solution to state estimation problem for nonlinear system with uncertainty in initial conditions is presented.