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Unformatted text preview: Extended Kalman Filter (EKF)
State model for EKF: Extended Kalman Filter (EKF)
Taylor series expansion of h(.) about prior estimate: Linearized model:
Similar assumptions as the DKF regarding noise sources
and observability of the states.
Measurement equation nonlinear in state parameters. Linearization valid only if : Assume nonlinearity is differentiable and continuous. Extended Kalman Filter (EKF)
Computing Kalman Gain: Extended Kalman Filter (EKF)
DKF equations valid with linearized state model.
Error surface multi-modal due to nonlinearity. EKF state estimate:
Choice of initial conditions : unbiased estimate
Error covariance update:
EKF diverges if initial conditions are not chosen 3
State extrapolation: ...
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This note was uploaded on 12/02/2011 for the course AR 107 taught by Professor Gracegraham during the Fall '11 term at Montgomery College.
- Fall '11