Unscented Kalman filter, basically solves the Kalman filter equations for nonlinear functions. Its hard to find the nonlinear transform of a pdf, so the trick is to use samples, as it is easy to apply a nonlinear transform to a point. The UKF basically uses samples, called sigmoid points, to approximate the pdf up to the second moment and propagates those through the model like the standard Kalman.
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What does Unscented Kalman FIlter exactly doing? Is it also assumed the distribution is Gaussian?
Unscented Kalman filter, basically solves the Kalman filter equations for nonlinear functions. Its hard to find the nonlinear transform of a pdf, so the trick is to use samples, as it is easy to apply a nonlinear transform to a point. The UKF basically uses samples, called sigmoid points, to approximate the pdf up to the second moment and propagates those through the model like the standard Kalman.