Can I use the ode45 solver for the state update in a unscented Kalman filter
3 views (last 30 days)
Can I use the ode45 solver for the state update in a unscented Kalman filter?
In "vdpStateFcn" using ode45 instead of Euler Integration shown in: https://ch.mathworks.com/help/control/ug/nonlinear-state-estimation-using-unscented-kalman-filter.html
Rajesh Balagam on 18 Sep 2017
Edited: Rajesh Balagam on 18 Sep 2017
You cannot use the ode45 function directly in the above example code as it will output integrated function values for all the time points instead of a single time-step value as required here. However, you can implement single-step updates of higher order methods such as Runge-Kutta ( https://en.wikipedia.org/wiki/Runge%2525E2%252580%252593Kutta_methods ) instead of the Euler method for better accuracy.
ode45 function itself uses an explicit Runge-Kutta formula, the Dormand-Prince pair (refer to the documentation page https://www.mathworks.com/help/matlab/ref/ode45.html#bu0200e-1)
You can find more information on other ODE integration methods related to this here https://blogs.mathworks.com/cleve/2014/05/26/ordinary-differential-equation-solvers-ode23-and-ode45/