Extended Kalman filter

In estimation theory, the extended Kalman filter (EKF) is the nonlinear version of the Kalman filter which linearizes about an estimate of the current mean and covariance. In the case of well defined transition models, the EKF has been considered^[1] the de facto standard in the theory of nonlinear state estimation, navigation systems and GPS.^[2]

^ Julier, S.J.; Uhlmann, J.K. (2004). "Unscented filtering and nonlinear estimation" (PDF). Proceedings of the IEEE. 92 (3): 401–422. doi:10.1109/jproc.2003.823141. S2CID 9614092.
^ Courses, E.; Surveys, T. (2006). "Sigma-Point Filters: An Overview with Applications to Integrated Navigation and Vision Assisted Control". 2006 IEEE Nonlinear Statistical Signal Processing Workshop. pp. 201–202. doi:10.1109/NSSPW.2006.4378854. ISBN 978-1-4244-0579-4. S2CID 18535558.

[Julier2004-1] Julier, S.J.; Uhlmann, J.K. (2004). "Unscented filtering and nonlinear estimation" (PDF). Proceedings of the IEEE. 92 (3): 401–422. doi:10.1109/jproc.2003.823141. S2CID 9614092.

[Courses2006-2] Courses, E.; Surveys, T. (2006). "Sigma-Point Filters: An Overview with Applications to Integrated Navigation and Vision Assisted Control". 2006 IEEE Nonlinear Statistical Signal Processing Workshop. pp. 201–202. doi:10.1109/NSSPW.2006.4378854. ISBN 978-1-4244-0579-4. S2CID 18535558.

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