ABSTRACT
This chapter discusses the evaluation of an integral with the help of cubature quadrature support points and accordingly we shall discuss the filtering algorithm based on it. The cubature Kalman filer (CKF) is further generalized by Shovan Bhaumik and Swati and the filter was named the cubature quadrature Kalman filter. Cubature quadrature points are the generalization of cubature points. Ienkaran Arasaratnam and Simon Heykin in stated their experience that high-degree cubature rules yield “no improvement or make the performance worse”. However, the statement was questioned by Bin Jia et al. who argued that high-degree CKFs are necessary to obtain more accurate results and formulated a high-degree cubature Kalman filter. To solve a multidimensional integral numerically, various types of cubature rule exist in literature. The chapter describes how to generate high-degree cubature quadrature points and corresponding weights. Filters belonging to the cubature family have received warm acceptance from the designers.
