Unscented Kalman Observer

The extended Kalman filter is an exponentially converging observer as soon as it is written in a canonical form of observability and in its high-gain form. It is shown that unlike extended Kalman filter, unscented Kalman filter can not be an exponentially converging observer. We propose a slight modification of the unscented Kalman filter to build an exponentially converging observer called unscented Kalman observer. Performances of this new observer are illustrated on an example of geolocation problem.