Two novel costs for determining the tuning parameters of the Kalman Filter

The Kalman filter (KF) and the extended Kalman filter (EKF) are well established techniques for state estimation. However, the choice of the filter tuning parameters still poses a major challenge for the engineers [1]. In the present work, two new costs have been proposed for determining the filter tuning parameters on the basis of the innovation covariance. This provides a cost function based method for the selection of suitable combination(s) of filter tuning parameters in order to ensure the design of a KF or an EKF having an optimally balanced RMSE performance. Index Terms-Kalman filter, tuning parameters, innovation covariance, cost function