Ensemble Kalman Filtering of Out-of-sequence Measurements for

Continuous-time Model
Sirichai Pornsarayouth and Masaki Yamakita
AbstractIn sensor fusion scheme, measurements from
multiple sensors usually arrive at different rate, and out-
of-sequence which are called out-of-sequence measurements
(OOSMs). To observe the state of a system using the information
from OOSMs, the covariance of the process noise accumulated
from time to time is necessary. However, by assuming that all
noises are Gaussian in Kalman lter, it is difcult to determine
the covariance of the accumulated process noise from a system
that is described by a continuous-time nonlinear model. This
paper introduces an integration method to estimate the state,
the state covariance and the covariance of the accumulated
process noise from a continuous-time nonlinear model. Together
with an OOSM update algorithm using Ensemble Kalman lter
(EnKF), we can realize an OOSM lter for most nonlinear
systems efciently. The algorithm requires low number of par-
ticles, derivative-free, without a necessity of nding backward
transition function for the system.
I. INTRODUCTION
Out-of-sequence measurements (OOSMs) are known as
measurements that are delayed or arrive with a variable
step size. Examples of sensor that transmits OOSMs are
bearing/scanning sensors which report an angle of the inter-
cepted object at the end of the scanning period, long-distance
sensors which cause delay on the measurement, sensors that
require long processing times, e.g., visual sensors. OOSMs
are categorized into two groups 1) one-step OOSMs whose
delay are less than one sample period and 2) multistep
OOSMs whose delay are larger than one sample period. The
problem of OOSM ltering arises when we want to fuse
measurements from multiple sensors that we have no prior
knowledge about the arriving time.
0 1 2 3 4 5 6 7
Current time OOSM
Fig. 1: An out-of-sequence measurement
In OOSM ltering problems, a solution via Ensemble
Kalman lter (OOSM-EnKF) has been shown to outperform
the solution given by other lters, see [1]. It is more stable
and requires less number of particles than applying the
particle lter (OOSM-PF), for the application of particle lter
to the OOSM problem, see [2]. The method is sustainable to
high delay measurements. Moreover it is applicable to strong
Authors are with Department of Mechanical and Control Engineering,
Tokyo Institute of Technology, 2-12-1, Ookayama, Meguro-ku, Tokyo,
Japan, 152-8552 yamakita@ac.ctrl.titech.ac.jp
nonlinear systems
1
where the method of Extended Kalman
lter (OOSM-EKF) cannot, see [3], [4] for more information
about OOSM-EKF. However, like other particle-base algo-
rithms, the method is discrete-time. Although, it is derivative-
free and can be applied to strong nonlinear systems, those
systems are usually derived as continuous-time systems; for
examples, a complex system such as bicycle, robot unicycle,
ball and beam system, or heat exchanger, etc.
Since OOSM-EnKF is a discrete-time variable step-size
algorithm, an explicit covariance of the process noise ac-
cumulated in a nonlinear systems is necessary, however it
can hardly be determined. If the system is nonlinear and its
model is continuous-time, we need an appropriate algorithm
to handle the continuous-time model and make it applicable
to OOSM-EnKF algorithm.
In this paper, the supplementary accumulated process
noise is derived from the continuous-time model. We use it
in OOSM-EnKF algorithm instead of the equivalent process
noise of discrete-time that cannot explicitly be found. We
show that the OOSM-EnKF algorithm is successfully applied
to the system which is derived in continuous-time. The
paper comprises six sections. Section I introduces basics of
OOSM ltering and the idea of this paper; section II shows
formulation of the OOSM problem in discrete-time and
the solution by the conventional OOSM-EnKF algorithm;
section III introduces OOSM problem in continuous-time
and shows how to nd a supplementary accumulated process
noise and apply it to OOSM-EnKF algorithm which make the
algorithm applicable to continuous-time nonlinear systems;
section IV evaluates the proposed algorithm by simulating
its application to the system with a continuous-time model;
Finally section V concludes keys and advantages of the
proposed algorithm compared with the conventional one.
II. DISCRETE-TIME OOSM FILTERING
A. Discrete-time Problem
For discrete-time systems, we are interested in the system
whose model is written as follows,
x(k) = f
k,k1
(x(k 1)) + L(k)v(k, k 1), (1)
z(k) = h
k
(x(k)) + M(k)w(k), (2)
where x(k) R
n
is the state of the system about t
k
;
f
k,k1
: R
n
R
n
is a state transition function from t
k1
1
In this paper, we refer a strong nonlinear system as a system where the
Jacobian matrix cannot or can hardly be found. On the other hand, we refer
the contradictory system as a mild nonlinear system.
to t
k
. v(k, k 1) R
q
is a Gaussian-distributed zero-
mean process noise accumulated from t
k1
and t
k
with the
covariance Q(k, k1) R
qq
; L(k) R
nq
is a dispersion
matrix of the process noise; z(k) R
m
is the measurement
determined from the measurement function h
k
: R
n
R
m
;
w(k) R
r
is a Gaussian-distributed zero-mean observation
noise with the covariance R(k) R
rr
; M(k) R
mr
is a dispersion matrix of the observation noise. We assume
that v(k, k 1) and w(k) are sampled from an independent
Gaussian distribution. We dene Q(k
2
, k
1
) as follows,
Q(k
2
, k
1
) Q(|t
k2
t
k1
|). (3)
At t
k
, we assume that the latest state estimation is available
and given by
x(k|k) E[x(k)|Z
k
], (4)
P(k|k) COV[x(k)|Z
k
], (5)
Z
k
{z(1), z(2), z(3), . . . , z(k)}, (6)
where COV[] denotes a covariance of the corresponding
random variable. The problem of OOSM arises when the
measurement of the state about t
l
t
k
arrives at t
k
. It
concerns how to determine a new estimation which includes
information of both Z
k
and z(l). For a new estimation, we
give notations as follows,
x(k|l
+
) E[x(k)|Z
+
l
], (7)
P(k|l
+
) COV[x(k)|Z
+
l
], (8)
Z
+
l
{Z
k
, z(l)} . (9)
By applying the orthogonal principle we can directly
update a signal x(k) x(k|k) by another signal z(l) z(l)
using the same formula as the conventional Kalman lter.
The most reasonable updating signal is the random variable
which is most correlate to x(k) x(k|k), that would be
z(k) z(k|k). Accordingly, this will minimize the covariance
of the updated variable, that is P
xx
P
xz
P
1
zz
P
zx
, where
the subscripts z and x denote the updating and the updated
random variable, respectively. Thus, a solution to discrete-
time systems whose measurements are OOSMs is obtained
as,
x(k|l
+
) = x(k|k) + P
xz
(k, l|k)P
zz
(l|k)
1
(z(l) z(l|k)) ,
(10)
P(k|l
+
) = P(k|k) P
xz
(k, l|k)P
zz
(l|k)
1
P
xz
(k, l|k)
T
.
(11)
Equation (10) and (11) are the main equations being used in
Gaussian-base algorithms. To fulll the equations we have
to nd
P
xz
(k, l|k) E[x(k) x(k|k)][z(l) z(l|k)]
T
, (12)
P
zz
(l|k) E[z(l) z(l|k)][z(l) z(l|k)]
T
, (13)
z(l|k) E[z(l)|Z
k
]. (14)
Solutions for nding z(l|k), P
xz
(k, l|k) and P
zz
(l|k) have
been broadly proposed, see [3], [4], [5], [1]. Section II-B
briey introduces the OOSM-EnKF algorithm which is the
particle-base algorithm for strong nonlinear system where all
noises are assumed to be Gaussian, see [1].
B. The Conventional OOSM-EnKF
Ensemble Kalman lter represents the distribution of the
estimated random varible by a cluster (an ensemble) of dif-
ferent estimations. Each estimation (particle) is disturbed by
a random noise which is sampled from an independent Gaus-
sian distribution corresponding to that process/measurement
noise. Each particle of the estimated state is propagated and
updated the same way as the conventional Kalman lter does.
For OOSM ltering, we dene an ensemble of p particles for
each variable as follows.
X(k
2
|k
1
) {x
1
(k
2
|k
1
), x
2
(k
2
|k
1
), . . . , x
p
(k
2
|k
1
)} , (15)
V(k
2
, k
1
) {v
1
(k
2
, k
1
), v
2
(k
2
, k
1
), . . . , v
p
(k
2
, k
1
)} , (16)
Z(k
1
) {z
1
(k
1
), z
2
(k
1
), . . . , z
p
(k
1
)} , (17)
W(k
1
) {w
1
(k
1
), w
2
(k
1
), . . . , w
p
(k
1
)} , (18)
where the subscript i denotes the i
th
particle of an ensemble;
X(k
2
|k
1
), V(k
1
, k
2
), Z(k
1
) and W(k
1
) represent ensembles
corresponding to x(k
2
|k
1
), v(k
1
, k
2
), z(k
1
) and w(k
1
), re-
spectively.
We simply approximate mean and covariance of an en-
semble by the sampled mean and the sampled covariance,
respectively. For instance,
x(k
2
|k
1
)
1
p
p

i=1
x
i
(k
2
|k
1
), (19)
P(k
2
|k
1
)
1
p 1
p

i=1
[x
i
(k
2
|k
1
)][x
i
(k
2
|k
1
)]
T
. (20)
The following is the OOSM-EnKF algorithm for a discrete-
time system.
1) Set the number of particles p for one ensemble.
2) Set an initial value of the estimated state x(0) and its
covariance P(0). Set k = 0.
3) Randomly generate an ensemble of p-particle of the
initial state X(0) N{ x(0), P(0)}.
4) When the measurement about t
l
arrives at t
k+1
, set
t
k+1
as a current time.
5) If t
l
> t
k
, consider the measurement as a one-step lag
OOSM, then for the i
th
particle:
a) Generate p-particle of V(l, k) N{0, Q(l, k)}.
b) From (1), predict the state x
i
(l|k) from x
i
(k|k)
with the disturbance v
i
(l, k) of the generated
V(l, k). We get X(l|k).
c) Skip to step 7).
6) If t
l
t
k
, consider the measurement as a multistep
lag OOSM, then for the i
th
particle:
a) Interpolate x
i
(l|l) from nearby estimations, i.e.,
x
i
(a|a) and x
i
(b|b) where t
a
t
l
t
b
t
k
.
2
b) Generate p-particle of V(k, l) N{0, Q(k, l)}.
2
Smoothing algorithm would be appropriate.
c) From (1), predict the state x
i
(k|l) from x
i
(l|l)
with the disturbance v
i
(k, l) of the generated
V(k, l). We get X(k|l).
d) Update V(k, l) by X(k|k), we get V(k, l|k) as
follows,
v
i
(k, l|k) = v
i
(k, l) + Q(k, l)P

(k)
1
(x
i
(k|k) x
i
(k|l)), (21)
where
e
i
(k|k) x
i
(k|k) x(k|k), (22)
e
i
(k|l) x
i
(k|l) x(k|l), (23)
P

(k)
1
p 1
p

i=1
[e
i
(k|l) e
i
(k|k)]
[e
i
(k|l) e
i
(k|k)]
T
.
(24)
e) Subtract V(k, l|k) and V(k, l) from X(k|k) and
X(k|l), respectively, and use their difference to
update X(l|l), we get X(l|k) as follows,
x
i
(l|k) = x
i
(l|l) + P
x
(l, k)P

(k)
1

i
(k),
(25)
where

i
(k) (x
i
(k|k) v
i
(k, l|k))
(x
i
(k|l) v
i
(k, l)) ,
(26)
e
i
(l|l) x
i
(l|l) x(l|l), (27)

i
(k)
_

i
(k)

i
(k)
_
(28)
P
x
(l, k)
1
p 1
p

i=1
[e
i
(l, l)][
i
(k)]
T
, (29)
P

(k)
1
p 1
p

i=1
[(k)][(k)]
T
. (30)
7) Generate p-particle of W(l) N{0, R(l)}.
8) From (2), estimate z
i
(l|k) from x
i
(l|k) with the dis-
turbance w
i
(l) of the generated W(l). We get Z(l|k).
9) Generate p-particle of V(k + 1, k) N{0, Q(k +
1, k)}.
10) For the i
th
particle, use (1) to predict x
i
(k+1|k) from
the latest state x
i
(k|k) with the disturbance v
i
(k+1, k)
of the generated V(k + 1, k). We get X(k + 1|k).
11) Determine P
zz
(l|k) and P
xz
(k + 1, l|k) by.
P
zz
(l|k)
1
p 1
p

i=1
[z
i
(l|k) z(l|k)]
[z
i
(l|k) z(l|k)]
T
,
(31)
P
xz
(k + 1, l|k)
1
p 1
p

i=1
[x
i
(k|k) x(k|k)]
[z
i
(l|k) z(l|k)]
T
.
(32)
12) Update X(k +1|k) by Z(l|k), we get X(k +1|l
+
) as
follows,
x
i
(k + 1|l
+
) = x(k + 1|k) + P
xz
(k + 1, l|k)
P
zz
(l|k)
1
(z(l) z(l|k)) ,
(33)
13) Mark X(k + 1|l
+
) as the latest estimation by setting
X(k +1|k +1) = X(k +1|l
+
). Set k = k +1 and go
back to step 4).
The OOSM-EnKF algorithm is derivative-free; moreover,
a reverse function of the state transition function is not
necessary. But still an explicit Q(k
2
, k
1
) is assumed to be
known which practically is too difcult to be determined for
nonlinear systems. In the next section, we introduce a method
as an extension of this algorithm which makes it applicable
to a system that is described by a continuous-time model.
III. CONTINUOUS-TIME OOSM FILTERING
A. A Continuous-time System
Most of nonlinear systems are derived from physics, and
the models are written in continuous-time that is difcult to
nd the discrete-time model. The continuous-time model is
generally written as
dx(t) = f(x(t), t)dt + L(t)dv(t), (34)
dy(t) = h(x(t), t)dt + M(t)d(t), (35)
where x(t) R
n
is the state of the system; f : R
n+1
R
n
is the drift function; h : R
n+1
R
m
is the measurement
function; dv(t) R
q
is process disturbance considered
as a Brownian motion with a dispersion matrix Q
c
(t);
d(t) R
r
is measurement disturbance, also considered as
a Brownian motion with a dispersion matrix R
c
(t); L(t)
R
nq
and M(t) R
mr
are arbitrary diffusion matrices of
dv(t) and d(t), respectively. Equation (34)-(35) can also
be formulated as differential equations as follows.
x(t) = f(x(t), t) + L(t)n(t), (36)
z(t) = y(t) = h(x(t), t) + M(t)w(t), (37)
where v(t) = dn(t)/dt is a zero-mean white process noise
with a uniform spectral density Q
c
(t); w(t) = d(t)/dt is a
zero-mean white measurement noise with a uniform spectral
density R
c
(t).
To apply OOSM-EnKF to the system (36)-(37), an en-
semble of the supplementary process noise which we dene
as V
d
(k + 1, k) for the discrete-time algorithm is required.
Also, the prediction of an ensemble of the state from t
k
to
t
k+1
must be done using the continuous-time model. For the
prediction of ensembles, we can simply predict each particle
in an ensemble by taking n(t) as zero and integrating (36),
x
i
(t
k+1
|t
k
) = x
i
(t
k
) +
_
t
k+1
t
k
f(x
i
(t), t)dt. (38)
The resulting

X(t
k+1
|t
k
) and its sample covariance

P(t
k+1
|t
k
) do not yet include the effect of the accumulat-
ing process noise n(t). Using the prediction technique of
the Unscented Kalman-Bucy Filter (UKBF), we can more
accurately estimate the covariance of the predicted state,
P(t
k+1
|t
k
), for a continuous-time system. The technique
is briey presented in section III-B, see [6], [?] for more
information.
B. Estimation of the Covariance of the Predicted State
For each particle of an ensemble of the estimated state
x(t
k
), one can use (36) for nding a propagation of the state
from t
k
to t
k+1
. Let X(t
k
) be a matrix of 2n+1 sigma points
(a small ensemble) dened by
X(t
k
)
_
x
0
(t
k
) x
1
(t
k
) . . . x
2n+1
(t
k
)

, (39)
which is generated by UKF technique
3
X(t
k
) = [ x(t
k
) . . . x(t
k
)]
+

n +
_
0
_
P(t
k
)
_
P(t
k
)

,
(40)
whose sampled mean and sample covariance equal x(t
k
)
and P(t
k
)}, respectively. Using the same technique as the
conventional UKF ltering, the propagated state is calculated
by
x(t) X(t)W
m
=

n +
x
0
(t) +
0.5
n +
2n

i=1
x
i
(t).
(41)
Note that W
m
R
(2n+1)1
is a constant array with the
rst element equals /(n +) and the rest equals 0.5/(n +
). The estimated state x(t
k
) is drifted by the differential
equation (36) and is calculated from
d
dt
x(t
k
) = f(X(t
k
), t
k
)W
m
. (42)
From the technique of predicting the state and its covariance
of UKF in [6], let the Brownian motion dv(t) that is
accumulated during time t be , we have
x(t
k+1
) = x(t
k
+ t)
= x(t
k
) + f(x(t
k
), t
k
)t
+ o(t) + L(t
k
),
(43)
and its corresponding covariance can be written as
P(t
k+1
) = COV[x(t
k+1
), x(t
k+1
)]. (44)
Knowing that is an independent random variable and by
taking t 0, we have
d
dt
P(t
k
) = COV[x(t
k
), f(x(t
k
), t
k
)]
+ COV[x(t
k
), f(x(t
k
), t
k
)]
T
+ L(t
k
)Q
c
(t
k
)L
T
(t
k
).
(45)
Similar to UKBF technique, COV[x(t
k
), f(x(t
k
), t
k
)] is
calculated by
COV[x(t
k
), f(x(t
k
), t
k
)] = X(t)W
c
f
T
(X(t), t), (46)
where W
c
R
(2n+1)(2n+1)
is also a constant diagonal
matrix with the rst diagonal element equals /(n+) and
the rest of diagonal elements equals 0.5/(n + ).
By doing so, We can estimate the propagation of the
covariance of the state from t
k
to t
k+1
, P(t
k+1
|t
k
),
by integrating (42) and (45), where X(t
k
), x(t
k
) and
COV[x(t
k
), f(x(t
k
), t
k
)] are determined by (40), (41) and
(46), respectively.
3
n is the dimension of the state, is the tuning parameter for UKF.
C. Applying to OOSM-EnKF
Since the explicit covariance Q
d
(t
k+1
, t
k
) of the supple-
mentary process noise V
d
(t
k+1
, t
k
) is unknown. We use the
following to estimate Q
d
(t
k+1
, t
k
),
Q
d
(t
k+1
, t
k
) P(t
k+1
|t
k
)

P(t
k+1
|t
k
). (47)
Since we cannot guarantee the positive semi-deniteness of
the difference, a near positive semi-denite matrix is used
instead. In our simulation, we simply neglect the imaginary
part from the square-root decomposition of the matrix. Once
we estimate Q
d
(t
k+1
, t
k
) using (47), we can predict the
ensemble of the propagating state by
X(t
k+1
|t
k
) =

X(t
k+1
|t
k
) +V
d
(k + 1, k), (48)
where V
d
(k + 1, k) N{0, Q
d
(t
k+1
, t
k
)}. For the
continuous-time system, the supplementary accumulated pro-
cess noise V
d
(k + 1, k) and the predicted state X(t
k+1
|t
k
)
will substitute for the corresponding V(k
2
, k
1
) and X(k
2
, k
1
)
in the step 5a)/5b), 6b)/6c) and 9)/10) of the OOSM-EnKF
algorithm in section II-B, respectively.
IV. EVALUATIONS
We evaluate the proposed algorithm by simulating a 2D
target tracking system. The target is observed by two bearing
sensors located at distinct location. The target is moving in
a circular path and is dragged by a constant force.
A. A System and Measurement Model
Let the state of the system be [x
x
v
x
x
y
v
y
]
T
R
4
, a
model of the target is described as follows,
_

_
x
x
v
x
x
y
v
y
_

_
=
_

_
v
x
c
1
v
y
/v
s
c
2
sgn(v
x
)
v
y
c
1
v
x
/v
s
c
2
sgn(v
y
)
_

_
+
_

_
0
n
x
0
n
y
_

_
(49)
where v
s
=

v
x2
+ v
y2
; c
1
, c
2
R are arbitrary constants;
sgn : R {1, 0, 1} is a signum function; x
x
(t) and x
y
(t)
are position of the target on x and y axis; v
x
(t) and v
y
(t)
are velocity of the target on x and y axis, respectively; n
x
(t)
and n
y
(t) are white noises with a uniform spectral density
equals Q
c
.
The target is observed by two bearing sensors, each of
them reports an angle and a timestamp of when the scanning
line intercept the target, and its data is only available at the
end of the scanning peroid. The measurement model of the
bearing sensor is given by
z(t) = atan2([x
x
x
y
]
T
) + w(t),
x
y
= x
y
(t) x
y
s
, x
x
= x
x
(t) x
x
s
,
(50)
where [x
x
s
x
y
s
]
T
R
2
is a vector of a coordinate of a
sensor, w(t) is a Gaussian zero-mean measurement noise
with the covariance R, and atan2 : R
2
(, ] is an
arctan(x
2
/x
1
) function, where the sign of both x
1
and x
2
from the input [x
1
x
2
]
T
are used to determine the quadrant
of the result.
In the simulation, a target starts at x
0
= (0 m, 200 m) with
initial velocity (6
m
/s, 0
m
/s). c
1
and c
2
are equal to 0.5
m
/s
2
and 0.01
m
/s
2
, respectively. The spectral density Q
c
for the
white noises n
x
(t) and n
y
(t) equals 0.02 m
2
. We simulate
the target using Euler-maruyama method with 0.01 s sample
period. The rst bearing sensor located at (200 m, 100 m)
scanning at frequency 1/2.64 Hz. The second sensor located
at (200 m, 100 m) scanning at frequency 1/2.82 Hz.
Since each sensor reports data at the end of the scanning
period, and we introduce extra delay to the second sensor,
that makes the rst and the second sensor report one-step
lag OOSM and multistep lag OOSM, respectively. Both
sensors are disturbed by noises with the covariance R equals
0.1 deg
2
.
We simulate a target tracking using the proposed lter,
denoted as OOSM-EnKF-c, comparing with the lter in [1]
(as introduced in section II-B), denoted as OOSM-EnKF-d.
For a given t |t
k2
t
k1
|, we estimate the covariance of
the accumulated process noise in OOSM-EnKF-d by
Q(k
2
, k
1
)
_
Q
c
0
0 Q
c
_

_
(t
3
)/3 (t
2
)/2
(t
2
)/2 t
_
. (51)
For more information about integral of a stochastic noise, see
[7]. We perform 100 simulations from t = 0 s to 100 s. For
each simulation, both lters start with a fault initial position
sampled a Gaussian distribution N{x
0
, 100}. We evaluate
both lters for two methods, 1) using Forward-Euler method,
and 2) using the 4
th
order Runge-Kutta method for steps
regarding prediction, i.e., the step 5b), 6c) and 10) for both
lters. We conduct the simulation in 4 cases, that is, 3 s, 5 s,
7 s and 10 s delay is introduced on the second sensor.
B. Results
Table I shows the average (from 100 simulations) of root-
mean-square of the tracking error (RMSE) for each case.
Fig. 2 and Fig. 3 shows two examples of the tracking
trajectory when 5 s and 10 s delay is introduced to the
second sensor, respectively. Solid magenta lines represent an
actual trajectory; solid blue lines with circle marks represent
a tracking trajectory of OOSM-EnKF-d; and solid red
lines with square marks represent a tracking trajectory of
the proposed algorithm, OOSM-EnKF-c.
4
The tracking
trajectory in Fig. 3a is worse than that of Fig. 2a because
the time delay of the second sensor in Fig. 3 is less than the
time delay of the second sensor in Fig. 2, which lowers the
correlation between the measurement from the second sensor
and the state of the target. As a result, the accuracy of the
estimated position is worse in the direction that is viewed
by the second sensor (located at (200 m, 100 m)). From
Table I, the performance of OOSM-EnKF-c is better than
that of OOSM-EnKF-d on a large number of simulations.
Although the difference of RMSE between two lter is not
much, we can see that the effectiveness of OOSM-EnKF-c
comparing with OOSM-EnKF-d increases as the time delay
4
Note that except the time delay on the second sensor, the targets of both
Fig. 2 and Fig. 3 are simulated under the same condition, and Fig. 2a and
Fig. 3a are plotted on the same scale.
TABLE I: Average RMSE of the tracking results of the both
lters: 100 simulations with varying delay on the 2
nd
sensor.
RMSE (m) \ Delay 3 s 5 s 7 s 10 s
Forward-Euler
OOSM-EnKF-d 1.3966 2.5870 4.0281 8.3838
OOSM-EnKF-c 1.3762 2.5585 3.9270 7.6967
RK4-solver
OOSM-EnKF-d 1.0513 1.6305 2.0591 3.1014
OOSM-EnKF-c 1.0468 1.6263 2.0450 3.0285
becomes longer and/or the precision of the model becomes
worse. Furthermore, OOSM-EnKF-d can be applied only if
an explicit estimation of (51) is known. Otherwise, OOSM-
EnKF-c is more suitable in wider range of applications.
V. CONCLUSIONS
In this paper, we summarize the OOSM-EnKF algorithm
for ltering multiple out-of-sequence measurements whose
sampling period and delay are different. The algorithm is
derivative free, applicable to strong nonlinear system whose
noises are assumed to be Gaussian. Besides, a reverse
function of the state transition function is not necessary in
the algorithm. OOSM-EnKF is not limited to just discrete-
time systems as in the previous research. By applying parts
of Unscented Kalman-Bucy lter (UKBF), we introduce a
supplementary accumulated process noise which enables us
to apply OOSM-EnKF algorithm to the continuous system
whose spectral density function of the process noise is uni-
form. The proposed method make OOSM-EnKF algorithm
more exible and applicable to wider range of applications.
UKBF cannot be applied to OOSM problem because the
number of sigma points (particles) is not enough to contain
information of auto-correlation between states from different
time. Therefore, OOSM-EnKF with the introduced supple-
mentary accumulated process noise is more suitable for
OOSM ltering of the continuous-time system where an ex-
plicit covariance of the process noise cannot be determined.
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X Position (m)
Y

P
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OOSMEnKFc
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