Learning the Extended Kalman Filter

Version (2,1 KB) von Yi Cao
An implementation of Extended Kalman Filter for nonlinear state estimation.
Aktualisiert 23. Jan 2008

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Anmerkung des Herausgebers: This file was selected as MATLAB Central Pick of the Week

This is a tutorial on nonlinear extended Kalman filter (EKF). It uses the standard EKF fomulation to achieve nonlinear state estimation. Inside, it uses the complex step Jacobian to linearize the nonlinear dynamic system. The linearized matrices are then used in the Kalman filter calculation.

The complex step differentiation seems improving the EKF performance particularly in accuracy such that the optimization and NN training through the EKF are better than through the UKF (unscented Kalman filter, http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=18217&objectType=FILE). Other complex step differentiation tools include the CSD Hessian available at http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=18177&objectType=FILE.

Zitieren als

Yi Cao (2024). Learning the Extended Kalman Filter (https://www.mathworks.com/matlabcentral/fileexchange/18189-learning-the-extended-kalman-filter), MATLAB Central File Exchange. Abgerufen .

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Erstellt mit R2007a
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