EKF - Extended Kalman Filter(EKF Extended State model for EKF Extended Kalman Filter(EKF Extended Taylor series expansion of h about prior estimate

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Unformatted text preview: Extended Kalman Filter (EKF) Extended State model for EKF: Extended Kalman Filter (EKF) Extended 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) Extended Computing Kalman Gain: Extended Kalman Filter (EKF) Extended 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.

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