The invention discloses a
nonlinear filtering method and a
nonlinear filtering system based on
mode matching, which are used for effectively solving the problem of state
estimation of additive and asymmetric
skew noise in a
system model. The core of the method is to construct a
mode matching (GeMM) transformation module, through synchronous
processing and accurate propagation of three statistics of a mean value, a
covariance and a mode of
state distribution, and through matching by using closed
skew normal (CSN) distribution,
skew characteristics are accurately described. The specific implementation comprises the steps of
system modeling and filter initialization; in the prediction stage, a prior mean value and a prior
covariance are calculated by adopting a traditional moment propagation method, and a prior mode is directly and accurately calculated according to a mode propagation theorem; in the updating stage, the prior statistic, the observation
noise statistic and the actual observation value are input into GeMM for transformation, the transformation finally obtains the mean value, the
covariance and the mode of posterior condition distribution by constructing CSN distribution of the statistic matched with the
joint variable, and state
estimation is completed. The method provided by the invention can be used as an enhanced module seamless embedded
extended Kalman filter (EKF) or unscented
Kalman filter (UKF) framework, the
estimation precision in a skew
noise environment is remarkably improved, excellent calculation efficiency and robustness are kept, and the method has a good
engineering application prospect.