This week, I present the discrete and continuous-discrete formulations of the extended Kalman filter. This is an approximation of the KF for non-linear systems.
Material:
- Chapter 6 – Part I: Discrete Extended Kalman Filter
- Chapter 6 – Part II: Continuous-Discrete Extended Kalman Filter
Previous post of this course:
- Week 1: Syllabus + Introduction
- Week 2: Linear Algebra + Linear Systems
- Week 3: Set + Probability + Random Variables
- Week 4: Random Variables + Random Vectors
- Week 5: Random Vectors + Stochastic Processes
- Week 6: Stochastic Processes + Parameter Estimation
- Week 7: Parameter Estimation + Kalman Filter
- Week 8: Kalman Filter and Some Computational Aspects