Novel Measurement Update Method for Quadrature-Based Gaussian Filters

A novel measurement update method is presented for quadrature-based Gaussian filters such as the unscented Kalman filters, the cubature Kalman filters, the sparse grid quadrature filters, and the Gauss-Hermite quadrature filter. Like the measurement update methods of the Gaussian filters, the method is based on linear minimum mean square error estimation. However, it updates the quadrature points directly such that the non-Gaussian structure of the quadrature points is partially preserved.