The Unscented Kalman Filter (UKF): A Full Tutorial. PS. Sampling Methods are Amazing

The Unscented Kalman Filter (UKF) is considered the best Gaussian Filter in terms of performance. It relies on the unscented transform, a powerful tool for transforming distributions. The process involves intelligent sampling of points from the initial distribution, which are then passed through the true transform function. The resulting samples are recombined to estimate the final distribution. Let's see how it's mathematically done!

UKF Presented: https://ieeexplore.ieee.org/document/...
Generalized Gaussian Filter: http://asrl.utias.utoronto.ca/~tdb/bi... (page 103 and pdf page 120)

Chapters:
0:00 Video Introduction
0:48 Model Setup
1:15 UKF Intuition
2:30 Unscented Transform - Intuition
2:59 Unscented Transform - Sigma Points
3:19 Unscented Transform - Matrix Square Root
4:51 Unscented Transform - Moment Matching
5:50 Unscented Transform - Tuning Parameters
6:20 The UKF
8:43 UKF Advantages