Extended Kalman filter using a kernel recursive least squares observer

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Pingping Zhu, Badong Chen, José C. Príncipe

Published: 2011, Last Modified: 21 Jan 2026IJCNN 2011EveryoneRevisionsBibTeXCC BY-SA 4.0
Abstract: In this paper, a novel methodology is proposed to solve the state estimation problem combining the extended Kalman filter (EKF) with a kernel recursive least squares (KRLS) algorithm (EKF-KRLS). The EKF algorithm estimates hidden states in the input space, while the KRLS algorithm estimates the measurement model. The algorithm works well without knowing the linear or nonlinear measurement model. We apply this algorithm to vehicle tracking, and compare the performances with traditional Kalman filter, EKF and KRLS algorithms. Results demonstrate that the performance of the EKF-KRLS algorithm outperforms these existing algorithms. Especially when nonlinear measurement functions are applied, the advantage of the EKF-KRLS algorithm is very obvious.