Conditionally Minimax Nonlinear Filter and Unscented Kalman Filter: Empirical Analysis and Comparison

We present the results of the analysis and comparison of the properties of two concepts in state filtering problems for nonlinear stochastic dynamic observation systems with discrete time: sigma-point Kalman filter based on a discrete approximation of continuous distributions and conditionally minimax nonlinear filter that implements the conditionally optimal filtering method based on simulation modeling. A brief discussion of the structure and...