Risk-Sensitive Cubature Filtering for Jump Markov Nonlinear Systems and Its Application to Land Vehicle Positioning⋆

In this paper, a risk-sensitive filter for a class of jump Markov nonlinear systems is proposed. By using a set of weighted cubature points to approximate the intractable risk-sensitive recursions, the proposed filter could exhibit improved numerical stability with respect to the derivation of the square-root covariance, for which the unscented transform technique might halt the operations due to the presence of non-positive definite covariance. The performance of the proposed filter is illustrated through a simulation study of tracking a land vehicle with maneuvers.