Modified extended Kalman filtering
Derek S. Wall, F.M.F. Gaston
Abstract
Derek S. Wall, F.M.F. Gaston
Abstract
This paper examines a previously published modified extended Kalman (1960) filter. The modification provides better estimates than the extended Kalman filter under certain system conditions. The modification attempts to formulate a more accurate linearization of the underlying system, hence improve the state estimates. This paper investigates conditions where the algorithm outperforms the extended Kalman filter. The paper also suggests an additional modification which further improves the performance.
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This paper examines a previously published modified extended Kalman (1960) filter. The modification provides better estimates than the extended Kalman filter under certain system conditions. The modification attempts to formulate a more accurate linearization of the underlying system, hence improve the state estimates. This paper investigates conditions where the algorithm outperforms the extended Kalman filter. The paper also suggests an additional modification which further improves the performance.
Key concepts: Kalman filter, Fast Kalman filter, Invariant extended Kalman filter, Alpha beta filter, Linearization, Extended Kalman filter, Moving horizon estimation, Control theory (sociology)