2015 European Control Conference (ECC)
July 15-17, 2015. Linz, Austria
A Mixed-Type Accurate Continuous-Discrete Extended-Unscented
Kalman Filter for Target Tracking
Maria V. Kulikova1 and Gennady Yu. Kulikov1
Abstract— This paper presents a novel method of nonlinear
Kalman filtering, which unites the best features of the accurate
continuous-discrete extended Kalman and unscented Kalman
filters. More precisely, the time updates in the discussed state
estimator are done by the corresponding part of the first
filter whereas the measurement updates are conducted with
use of the unscented transformation. All this allows accurate
predictions of the state mean and error covariance to be com-
bined with accurate measurement updates. Therefore the new
filter is particularly effective for stochastic continuous-discrete
systems with nonlinear and/or nondifferentiable observations.
The efficiency of this mixed-type filter is shown in comparison
to the performance of the accurate continuous-discrete extended
Kalman and unscented Kalman filters on a known target
tracking problem with sufficiently long sampling periods.
I. INTRODUCTION
Recently, we introduced a novel state estimator referred to
as the Accurate Continuous-Discrete Extended Kalman Filter
(ACD-EKF) [1], [2], [4]. In [1]–[4], the ACD-EKF is found
to be a successful method for state estimation in continuous-
discrete state-space mathematical models of the form

drift function of the SDE (1), the
dX(t) = F X(t) dt + GdW (t) (1)
where X(t) ∈ Rn stands for an n-dimensional system’s state
at time t, F : Rn → Rn is a nonlinear drift function in the
Itô-type Stochastic Differential Equation (SDE) (1), G is a
constant matrix of dimension n×q and {W (t), t > 0} is a q-
dimensional Brownian process with square diffusion matrix
Q(t) ≥ 0. The initial state X0 of SDE (1) is considered to
be a random variable. More precisely, X0 ∼ N (X̄0 , Π0 )
with Π0 ≥ 0, where the notation N (X̄0 , Π0 ) stands for
the Gaussian distribution with mean X̄0 and covariance Π0 .
It is also assumed that some measurement information is
available in equidistant time intervals of size δ := tk − tk−1 .
In addition, the measurement Zk and the state Xk are linked
by means of the following observation equation:
Zk = h(Xk ) + Vk , k ≥ 1,
where k stands for a discrete time index (i.e. Xk means
an approximation to the exact state X(tk )), Zk ∈ Rm is
the information available at time instant tk , h : Rn → Rm
is some function representing the relation between the state
*This work was supported by Portuguese National Fund (Fundação
para a Ciência e a Tecnologia) within the scope of projects PEst-
OE/MAT/UI0822/2011 and SFRH/BPD/64397/2009 and within the Investi-
gador FCT 2013 programme
1 The authors are with CEMAT (Center for Computational and Stochastic
Mathematics), Instituto Superior Técnico, Universidade de Lisboa, Av.
Rovisco Pais 1, 1049-001 LISBOA, Portugal maria.kulikova at
ist.utl.pt; gkulikov at math.ist.utl.pt
978-3-9524269-3-7 ©2015 EUCA
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and its observation (measurement). It is also supposed in
Eq. (2) that the measurement is corrupted by the noise Vk ,
which is considered to be a zero-mean Gaussian white-noise
process with covariance matrix Rk > 0. All realizations of
the noises W (t), Vk and the initial state X0 are assumed to
be taken from mutually independent Gaussian distributions.
Thus, the continuous-discrete stochastic state-space system
(1), (2) is a conventional state estimation problem arising in
many areas of study as diverse as target tracking, navigation,
stochastic control, chemistry and finance [5]–[18].
Being applied to the stochastic mathematical model (1),
(2), the ACD-EKF implies an accurate numerical integration
of the Moment Differential Equations (MDEs)
X̂ ′ (t) = F X̂(t) ,


(3)
′ T T



P (t) = J X̂(t) P (t) + P (t)J X̂(t) + GQG (4)
for determining predicted values of the state mean X̂(t) and
error covariance matrix P (t) at the next sampling time tk . In
the above MDEs, the right-hand side of Eq. (3) represents

the
matrix J X̂(t) in Eq. (4)



stands for the Jacobian J X̂(t) := dF X̂(t) /dX̂(t) and Q
is the constant diffusion matrix of the driving noise W (t). In
other words, one utilizes values of the filtered state mean and
error covariance matrix at the previous measurement instant
as the initial values of MDEs (3), (4) set in the sampling
interval [tk−1 , tk ], i.e. X̂(tk−1 ) = X̂k−1|k−1 , P (tk−1 ) =
Pk−1|k−1 . Then, the formulated initial value problem is
solved accurately by means of the efficient hybrid triple
NIRK4(2)M2 with global error control designed in [2].
Having completed this numerical integration and computed
approximate state expectation X̂k and error covariance Pk
at the time tk one yields the predicted values of the state
mean and error covariance matrix at the next sampling point
as follows: X̂k|k−1 = X̂k , Pk|k−1 = Pk . After arrival a new
measurement information Zk , the measurement-update step
(2) of the ACD-EKF is performed as usual:
−1
Re,k = R + Hk Pk|k−1 HkT , Kk = Pk|k−1 HkT Re,k , (5)
X̂k|k = X̂k|k−1 + Kk ek , ek = Zk − h(X̂k|k−1 ), (6)
Pk|k = Pk|k−1 − Kk Hk Pk|k−1 (7)
where the Jacobian Hk = dh(X̂k|k−1 )/dXk , and ek ∼
N (0, Re,k ) are innovations of the Kalman filter. Eventually,
the linear least-square estimate X̂k|k of the system’s state
X(tk ) based on the measurements {Z1 , . . . , Zk } has been
computed. Further details of the elaborated state estimator
are presented in [2].
2824
 As we said above, the discussed ACD-EKF method Eq. (8), numerically:
is quite successful in practice, especially, for continuous- 2,ℓ
= a211 X̂l4 +a212 X̂l+1
ℓ
+τl d211 F (X̂l4 )+d212 F (X̂l+1ℓ
 
X̂l1 ) , (9a)
discrete stochastic state-space systems of the form (1), (2)
2,ℓ
= a221 X̂l4 +a222 X̂l+1
ℓ
+τl d221 F (X̂l4 )+d222 F (X̂l+1ℓ
 
with infrequent measurements [1]–[3]. This is because of the X̂l2 ) , (9b)
implemented global error control used in the time update step h τl
i2 ℓ+1
In − J X̂l4 (X̂l+1 ℓ
− X̂l+1 ℓ
) = −X̂l+1 + X̂l4
of the ACD-EKF. In other words, the utilized MDE solver 4 h
NIRK4(2)M2 allows the predicted state expectation X̂k|k−1 τl 2,ℓ 2,ℓ
i
+ F (X̂l1 ) + F (X̂l2 ) , ℓ = 0, 1, 2, 3, (9c)
and the error covariance Pk|k−1 to be calculated accurately in 2
automatic mode and irrespective of the size of the sampling where In stands for
the identity matrix of dimension n, and
period δ. That is why this state estimator is more accurate the Jacobian J X̂l4 is evaluated at the approximate state
and robust for the stochastic Van der Vusse reaction in expectation X̂l4 , which implies the result of 4 iteration steps
comparison to the fixed-stepsize Continuous-Discrete Un- of the simplified Newton method (9) but for the subscript l
scented Kalman Filter (CD-UKF) [3]. We recall that the reduced by 1, ℓ marks the current iterate. We remark that
latter filter uses the unscented transformation designed for the iteration (9) is conducted with trivial predictor, i.e. the
discrete-time stochastic systems in [19], [20]. On the other approximate state expectation X̂l4 from the previous step is
0
hand, it is clear from the cited papers and [21, Chapter 7] taken as its initial guess or, more formally, X̂l+1 = X̂l4 .
that the measurement update step of the CD-UKF is more It is worthwhile to stress that the above iteration admits
accurate in comparison to that of the ACD-EKF because the a cheap practical implementation [23, Sec. 6]. This imple-
latter filter requires the linearization of the right-hand side of mentation means that the coefficient matrix of linear problem
Eq. (2) (see (5)–(7)). Therefore the accuracy and robustness (9c) is not squared. Problem (9c) is merely solved as follows:
of the ACD-EKF may be compromised for stochastic models h τl
ih τl
i ℓ+1
(1) with strongly nonlinear observations. Furthermore, this In − J X̂l4 In − J X̂l4 (X̂l+1 ℓ
− X̂l+1 ) = RHS
4 4
estimator might also fail when the observation equation (i.e.
where RHS stands for the right-hand side of formula (9c).
the function h(·) in Eq. (2)) is nondifferentiable at sampling
The latter representation of (9c) explains that one iteration
times. The latter is because of computing the Jacobian Hk
step of the iterative method (9) is performed in the form
in the measurement update step (5)–(7). In the next section,
of two successive solutions of linear systems with the same
we explain how to improve the ACD-EKF method with use
coefficient matrix In − τ4l J X̂l4 . Thus, only one evaluation


of the measurement update step of the additive (zero-mean)
and factorization of this matrix is demanded per mesh point
noise case UKF algorithm from [21, Table 7.3].
tl .
Next, we discuss the error estimation and control mech-
II. ACCURATE CONTINUOUS-DISCRETE
anism, which is used for the automatic generation of the
EXTENDED-UNSCENTED KALMAN FILTER
mesh {tl } in the sampling interval [tk−1 , tk ]. Following [2],
First of all we recall that the time update step of our new we utilize here the stepsize selection that has been designed
state estimator is grounded in the numerical integration of for the discretization NIRK method (8) in [24]. First of all,
MDEs (3), (4) in the time interval [tk−1 , tk ]. Following [2], having completed 4 steps of the iteration (9), we obtain the
we apply the Gauss-type NIRK formula of order 4 from [22] 4
approximate state expectation X̂l+1 at time tl+1 and the
to discretize the state expectation equation (3) as follows: 2,4 2,4
corresponding stage values X̂l1 , X̂l2 . We emphasize that
2 formulas (9a) and (9b) have been applied one more time to
= a211 X̂l + a212 X̂l+1 + τl d211 F (X̂l ) + d212 F (X̂l+1 ) ,
 
X̂l1
find these more accurate stage values for the output state
2
= a221 X̂l + a222 X̂l+1 + τl d221 F (X̂l ) + d222 F (X̂l+1 ) ,
 
X̂l2 expectation X̂l+1 4
. Then, we have to calculate the local and
τl h 2 2
i
global errors used in [24, Algorithm 3.2].
X̂l+1 = X̂l + F (X̂l1 ) + F (X̂l2 ) , l = 0, 1, 2... , (8) 4
2 First, the local error lel+1 associated with X̂l+1 is deter-
√ mined by the formula
with the constant parameters√ a211 = a222 := 1/2 +√2 3/9,
a212 = a221 := 1/2 − 2√ 3/9, d211 = −d222 := (3 + 3)/36, τl h 2,4 2,4
i
lel+1 = F (X̂l1 )+F (X̂l2 )−F (X̂l4 )−F (X̂l+14
) (10)
d212 = −d221 := (−3 + 3)/36. The nonlinear problem (8) is 2
to be solved with respect to the approximate state expectation in which the function F (·) means the right-hand side of
X̂l+1 at the new time point tl+1 . We recall that the function MDE (3). Second, the global (or true) error of the numerical
F (·) in Eq. (8) means the right-hand side of MDE (3). It is integration, denoted by ∆X̂l+1 at the mesh point tl+1 , is
also assumed that some variable mesh {tl } has already been evaluated as follows:
fixed in the integration interval [tk−1 , tk ], and the positive
∆X̂l+1 = ∆X̂l + lel+1 (11)
real number τl := tl+1 − tl implies the current step size
of the discretization NIRK formula of order 4. Further, we where the initial integration error ∆X̂0 is set to be zero. We
explain an efficient solution method of the nonlinear Eq. (8) stress that the proof published in [23, Sec. 6] ensures that the
with respect to X̂l+1 at each mesh node tl+1 . 4
approximate predicted state expectation X̂l+1 as well as the
It is proved in [23, Sec. 6] that the following simpli- local and global errors are calculated with sufficiently high
fied Newton iteration can be used successfully for treating accuracy by formulas (9), (10) and (11). The latter means

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the error of the iteration (9) is negligible in comparison to been computed at a sampling instant tk−1 and show how to
the error of the discretization NIRK method (8) and, hence, calculate these values at the next sampling time tk .
the proper work of the error control mechanism from [24,
Algorithm 3.2] may not be corrupted by the iterative error Time Update: Given X̂k−1|k−1 and Pk−1|k−1 , determine
of the simplified Newton method (9). Therefore we run the the predicted estimates, X̂k|k−1 and Pk|k−1 , as follows. Set
3/2
mentioned error control to generate the requested mesh {tl } ǫg := 10−4 , ǫloc := ǫg , τ0 := min{0.01, δ}, t0 := tk−1 ,
in the sampling interval [tk−1 , tk ] and to compute the output τmax := 0.1, M := 1, and perform the computation:
state expectation X̂l4 at every mesh point tl .
1. While M = 1 do;
Having completed the numerical integration of the MDE
2. l := 0, M := 0, X̂04 := X̂k−1|k−1 , ∆X̂0 := 0,
(3), we further solve the error covariance equation (4) on
P0 := Pk−1|k−1 ;
the generated mesh {tl }. This is performed with use of the
corresponding part of Mazzoni’s scheme [25]. Being applied 3. While (tl < tk ) & (k∆X̂l k∞ ≤ 10ǫg ) do;
4 2,4 2,4
to the MDE (4), the latter method reads 4. tl+1 := tl + τl ; Compute X̂l+1 , X̂l1 , X̂l2
by (9) and nthe local error lel+1 by (10);o
T
Pl+1 = Ml+1/2 Pl Ml+1/2 +τl Kl+1/2 GQGT Kl+1/2
T
(12) 5. τl∗ := min 1.5, 0.8 ǫloc /klel+1 k∞

1/3
τl ;
where tl+1/2 := tl + τl /2 is the mid-point of the current step 6. If klek+1 k∞ > ǫloc ,
of the size τl . The variable matrices evaluated at tl+1/2 are: then τl := τl∗ ;
else do;
h τl i−1
Kl+1/2 := In − J(X̂l+1/2 ) , 7. Evaluate the true error ∆X̂l+1 by (11);
2h
τl i 8. If k∆X̂l+1 k∞ > ǫg ,
Ml+1/2 := Kl+1/2 In + J(X̂l+1/2 ) . (13) then M := 1;
2
9. If M = 0,
We stress that the mid-point state expectation X̂l+1/2 is not then Compute Pl+1 by (12)–(14);
available from the NIRK discretization (8). Therefore it is 10. τl+1 := min{τl∗ , tk − tl+1 , τmax };
computed by means of the interpolation formula 11. l := l + 1;
" # end else;
τl2 ∂F X̂l4


1 4 4 4


X̂l+1/2 = X̂l + X̂l+1 − F X̂l (14) end while;
2 4 ∂ X̂ 12. If M = 1,
 3/2
where the approximate state expectation vectors X̂l4 and then ǫloc := 0.8ǫg / max k∆X̂l k∞ ǫloc ;
4 l
X̂l+1 come from the iteration (9). end while;
It is proved in [25] that discretization (12)–(14) of the 13. Stop.
MDE (4) is A-stable and convergent of order 2. Moreover,
formula (12) preserves the symmetry and positive semi- The numerical solutions X̂L4 and PL , where the subscript L
definiteness of the approximate error covariance matrix Pl+1 marks the last node in the generated mesh {tl } (i.e. tL ≡ tk ),
for any step size τl in exact arithmetic. This is particularly are taken as the output of the NIRK4(2)M2 applied to the
important for a proper work of our state estimator. MDEs (3), (4) for calculating the predicted state expectation
As we said above, the measurement update step of the new X̂k|k−1 := X̂L4 and the predicted error covariance Pk|k−1 :=
filtering technology comes from the UKF method constructed PL with the global error not exceeding ǫg .
in [19], [20] in the first time. The central part of this UKF Measurement Update: Having completed the time update
is played by the 2n + 1 deterministically selected sigma procedure, we obtain the predicted state mean X̂k|k−1 and
points (vectors) and their weights. The mentioned weights error covariance Pk|k−1 . Then, we proceed as follows.
are defined as follows: • The Cholesky decomposition is applied to factorize the

λ λ error covariance by the formula

(m) (c)
w0 = , w0 = + 1 − α2 + β, T
n+λ n+λ Pk|k−1 = Sk|k−1 Sk|k−1 (16)
(m) (c) λ
wi = wi = , i = 1, 2, . . . , 2n, (15) where Sk|k−1 means the lower-triangular factor.
2(n + λ)
• Then, we determine 2n + 1 sigma vectors by the rule
with the constant parameters α = 1, β = 0 and λ = 3 −
n, where n stands for the dimension of SDE (1). Weights X0,k|k−1 =X̂k|k−1 ,
√
(15) with the mentioned constants correspond to the classical Xi,k|k−1 =X̂k|k−1 +3Sk|k−1 ,
parametrization of the UKF suggested in [20]. Below, we √
Xi+7,k|k−1 =X̂k|k−1 − 3Sk|k−1 , i = 1, . . . , n. (17)
utilize the UKF version given in [21, Table 7.3].
To present the detailed state estimation algorithm for the • Next, the sigma vectors (17) are propagated by the
continuous-discrete stochastic state-space system (1), (2), we measurement function h(·) of Eq. (2), i.e.
further suppose that the filtered state mean X̂k−1|k−1 and

the filtered error covariance matrix Pk−1|k−1 have already Zi,k|k−1 = h Xi,k|k−1 , i = 0, 1, . . . , 2n. (18)

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 • Hence, the predicted measurement mean is the follow-
ing one:
2n
X (m)
Ẑk|k−1 = wi Zi,k|k−1 , (19)
i=0
and the innovations covariance is calculated by
2n
(c)
X
Pzz,k|k−1 = wi Zi,k|k−1 ZTi,k|k−1 + R
i=0
where the matrix R is the covariance of the measure-
ment noise Vk and the vector Zi,k|k−1 := Zi,k|k−1 −
Ẑk|k−1 , by definition.
• We evaluate further the cross-covariance matrix
2n
(c)
X
Pxz,k|k−1 = wi Xi,k|k−1 ZTi,k|k−1
i=0
with the vector Xi,k|k−1 := Xi,k|k−1 − X̂k|k−1 , and
estimate the continuous-discrete Kalman gain
−1
Wk = Pxz,k|k−1 Pzz,k|k−1 .
• Finally, the filtered state and the filtered error covariance
are computed at the new sampling time tk as follows:
X̂k|k = X̂k|k−1 + Wk (Zk − Ẑk|k−1 ),
Pk|k = Pk|k−1 + Wk Pzz,k|k−1 WkT .
In the above algorithm, the demanded accuracy of numerical
integration by the MDE solver NIRK4(2)M2 is set to be
ǫg := 10−4 , and this may be decreased or increased if
necessary. The local and global errors are measured in the
sup-norm, which is defined for an arbitrary n-dimensional
vector X as follows: kXk∞ = maxi=1,2,...,n |Xi |. This norm
may also be altered in relation to this or that need.
The presented state estimator is referred to as the Accu-
rate Continuous-Discrete Extended-Unscented Kalman Filter
(ACD-EUKF). Its main difference to the earlier designed
ACD-EKF method is that the measurement update given by
formulas (5)–(7) has been replaced with the more accurate
algorithm (16)–(24). The ACD-EUKF is further examined
on one test example with sufficiently long waiting times
from target tracking. Its performance is also compared to the
performance of the original ACD-EKF and CD-UKF on the
same test problem. The precise description of the ACD-EKF
is given in [2], but for a fair comparison, the non-square-root
version of this filter is used. The CD-UKF method is based
on the Itô-Taylor expansion of order 1.5 and implemented
as explained in [3], with taking into account the difference
of the chemical reaction studied in the latter paper and the
target tracking problem considered in the next section.
III. NUMERICAL SIMULATION
The above-discussed three nonlinear filtering technologies
are tested in severe conditions of tackling a 7-dimensional
radar tracking problem, where an aircraft executes a coor-
dinated turn. The latter is considered to be a challenging
example for examining nonlinear state estimators in practice
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[26, p. 4985]. We follow the cited paper to outline briefly
this test problem, below.
Aircraft’s dynamics (i.e. a coordinated turn in the horizon-
tal plane) obeys the SDE (1) where the state vector X(t) :=
[x(t) ẋ(t) y(t) ẏ(t) z(t) ż(t) ω(t)]T ∈ R7 with x(t),
y(t), z(t) and ẋ(t), ẏ(t), ż(t) denoting its positions and cor-
responding velocities in the Cartesian coordinates at time t,
ω(t) is the (nearly) constant turn rate, and the vector-function
(20)
F (X(t)) := [ẋ(t) −ω(t)ẏ(t) ẏ(t) ω(t)ẋ(t) ż(t) 0 0]T ∈
R7 . The driving noise term is also 7-dimensional with
all entries {wi (t), t > 0}, i = 1, . . . , 7, being mutually
independent Brownian processes with zero mean and unit
covariance in the studied stochastic continuous-time math-
ematical model. This noise simulates unpredictable errors
due to turbulence, wind force and so on. Its diffusion
(21) matrix G is diagonal and given by√the formula G :=
diag [0 σ1 0 σ1 0 σ1 σ2 ] with σ1 = 0.2 and σ2 = 0.007.
The observation in our air traffic control scenario is
nonlinear, discrete-time and fixed by the Eq. (2) with the
observation vector Zk := [rk θk φk ]T ∈ R3 and the
(22) observation function
 q 
x2k + yk2 + zk2
 
h(Xk ) :=  tan−1 (yk /xk )  ∈ R3
 
(23)   q  
tan−1 zk / x2k + yk2
(24)
where the coordinates xk , yk , zk stand for the aircraft’s
position at time tk . We emphasize that this observation equa-
tion corresponds to the radar located at the origin. It is also
assumed that this radar is equipped to measure the range rk ,
the azimuth angle θk and the elevation angle φk . The
measurement is corrupted by the white noise Vk∼ N (0, R)
with the diagonal covariance matrix R := diag σr2 σθ2 σφ2
and σr = 50 m, σθ = 0.1◦ , σφ = 0.1◦ .
Following Arasaratnam et al. [26], the described air traffic
control scenario is treated numerically in the time interval
of 210 s. However, the considered sampling periods δ are
enlarged significantly in comparison to those utilized in the
cited paper. The initial conditions of the aircraft’s dynamics
are also taken as those in [26], i.e. the initial state X0 is
the 7-dimensional random Gaussian variable with the mean
T
X̄0 := [1000 m 0 m/s 2650 m 150 m/s 200 m 0 m/s ω ◦ /s] ,
where ω = 6, and the covariance equal to the diagonal matrix
Π0 := diag [0.01 0 0.01 0 0.01 0.01 0.01].
Our new mixed-type ACD-EUKF state estimator is com-
pared to the original ACD-EKF and CD-UKF methods in the
frame of the above air traffic control scenario. We stress that
the ACD-EKF and ACD-EUKF are variable-stepsize state
estimation algorithms. So, they are merely abbreviated to
ACD-EKF and ACD-EUKF in the figure, below. In contrast,
the CD-UKF is the m-step method [3]. Therefore we con-
sider here three implementations of the CD-UKF depending
on the number m of subdivision of the sampling interval.
More precisely, we choose m = 128, 256, 512. That is why
our m-step filters are marked as CD-UKF128, CD-UKF256
and CD-UKF512, respectively. The first abbreviation stands
2827
 TABLE I
D IVERGENCE NUMBERS OF THE STATE ESTIMATORS USED IN THE AIR
TRAFFIC CONTROL SCENARIO

state waiting time δ

(a) Estimation Accuracy in Position (m)
10
6 estimator 5s 10 s 15 s 20 s 25 s 30 s
ACD−EUKF ACD-EUKF 0 1 9 7 8 15
ACD−EKF
CD−UKF128 ACD-EKF 0 1 8 9 11 16
Accumulated Root Mean Square Error

CD−UKF256
5 CD−UKF512
CD-UKF128 0 60 – – – –
10
CD-UKF256 0 0 9 – – –
CD-UKF512 0 0 2 1 4 –

4
10

for the CD-UKF with m = 128, and so on. All these filtering
methods are coded and run in MATLAB.
3
10 Firstly, to simulate the true aircraft’s dynamics, we solve
the corresponding SDE by the Euler-Maruyama method [27]
in the time interval [0, 210]. This numerical integration is
10
2

5 10 15 20 25 30
performed with the fixed step size equal to 0.0005. Secondly,
Sampling Period having fixed a size δ of the waiting time, we simulate the
true measurements at all K := [210/δ] sampling instants,
7
(b) Estimation Accuracy in Velocity (m/s) where [·] stands for the integer part of the number, for the
10
ACD−EUKF computed reference solution by the measurement equation.
ACD−EKF
CD−UKF128 Thirdly, we treat the air traffic control scenario with the
Accumulated Root Mean Square Error

6 CD−UKF256
10
CD−UKF512
simulated observation information to estimate the aircraft’s
state at the sampling times by the above-discussed ACD-
10
5 EUKF, ACD-EKF and CD-UKF methods. Then, the square
errors are calculated at these sampling points. We conduct
100 Monte Carlo simulations to determine the Mean Square
4
10 Error at every sampling instant of the integration interval
for the fixed value of δ. The utilized waiting periods are δ =
3 5, 10, 15, 20, 25, 30 s. Finally, for all these δ’s, we calculate
10
the Accumulated Root Mean Square Errors (ARMSE) as
follows:
2
10 h 1 X 100 XK
5 10 15 20 25 30
2
Sampling Period ARMSEp := xref,l (tk ) − x̂k|k,l
100K
l=1 k=1
(c) Accuracy in Turn Rate (°/s)
2
2 i1/2
0.12
ACD−EUKF
+ yref,l (tk )− ŷk|k,l + zref,l (tk )− ẑk|k,l ;
ACD−EKF
CD−UKF128 100 K
0.115 h 1 XX ˆk|k,l 2
Accumulated Root Mean Square Error

CD−UKF256
ARMSEv := ẋref,l (tk ) − ẋ
CD−UKF512
100K
0.11 l=1 k=1

2
2 i1/2
0.105 + ẏref,l (tk )− ẏˆk|k,l + żref,l (tk ) − żˆk|k,l ;
100 K
0.1
h 1 XX
2 i1/2
ARMSEω := ωref,l (tk ) − ω̂k|k,l
100K
l=1 k=1
0.095
where the subscript ref stands for the computed stochastic
0.09 reference solution, l marks the corresponding Monte Carlo
simulation, k denotes the particular sampling time tk and K
0.085
5 10 15 20 25 30 implies the total number of sampling instants (calculated as
Sampling Period
explained above) for the fixed δ. Here, ARMSEp , ARMSEv
Fig. 1. A comparison of the ACD-EUKF, ACD-EKF and CD-UKF methods and ARMSEω denote the ARMSE in position, in velocity
in the air traffic control scenario and in turn rate, respectively. These errors are displayed for
all the filters under consideration (abbreviated as explained
in the beginning of Sec. III) in Fig. 1. In addition, Table I
exhibits the total numbers of divergences of the examined
filtering methods used in this experiment out of 100 inde-

2828

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pendent runs of our codes. Following Arasaratnam et al. [26],
divergence is declared when the position error
h tation of the continuous-discrete extended Kalman filter,” IEEE Trans.
(xref,l (tk ) − x̂k|k,l )2 + (yref,l (tk ) − ŷk|k,l )2
i1/2
+ (zref,l (tk ) − ẑk|k,l )2
at any sampling instant tk ∈ [0, 210]. The lines “–” in Table I
mean that the corresponding filter has failed to return a
numerical answer for the particular δ.
Fig. 1 and Table I say that the variable-stepsize es-
timators ACD-EKF and ACD-EUKF clearly outperform
the fixed-stepsize methods CD-UKF128, CD-UKF256 and
CD-UKF512 in the robustness and flexibility of computa-
tion. Only these algorithms provide the sufficiently accurate
state estimation for all the δ’s considered here, whereas the
remaining three methods work when the sampling rate is
high enough. Certainly, it depends on the subdivision number
m, i.e. the fixed-stepsize CD-UKF estimates the state more
accurately for the larger m. For example, the CD-UKF128
succeeds only for δ = 5 and 10 s, but the CD-UKF512 fails
for the sole δ = 30 s. Moreover, the latter filter provides the
highest accuracy for all the δ’s except for the longest one.
Thus, in principle, one can use successfully the CD-UKF
when the proper number m of subdivision is know a priori.
Unfortunately, the latter is hardly possible in practice and
presents a complicated task even for experienced users.
As we said above, the ACD-EKF and ACD-EUKF do
not demand any manual tuning and work for all the δ’s
considered in this simulation. Nevertheless, we observe some
error and divergence number growth for these filters in line
with growing δ, but this error increase is quite reasonable
because the ratios of the ARMSEs calculated for δ = 5 s and
δ = 30 s are about two. In addition, we see that the mixed-
type state estimator outperforms the original ACD-EKF in the
number of committed divergences when the waiting time is
sufficiently long. All this creates a solid background for fur-
ther testing of this method, including practical applications.
IV. CONCLUSION
This paper elaborates the filtering technology termed the
Accurate Continuous-Discrete Extended-Unscented Kalman
Filter (ACD-EUKF). This new mixed-type algorithm has
been created with use of the time updates from the variable-
stepsize Accurate Continuous-Discrete Extended Kalman
Filter (ACD-EKF) and the measurement updates from the
fixed-stepsize Continuous-Discrete Unscented Kalman Filter
(CD-UKF). Eventually, our state estimator is accurate and
can be applied to continuous-discrete stochastic state-space
systems with strongly nonlinear (and even nondifferentiable)
observations. The latter extends the application realm of the
accurate nonlinear Kalman filtering designed in [1], [2] and
makes it more accurate for the models with long waiting
times. Our numerical tests show the superiority of the ACD-
EUKF towards the original ACD-EKF and CD-UKF methods
in the air traffic control scenario from [26]. All this creates a
solid background for further testing of this method, including
in practical environment.
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