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Understanding the Extended Kalman Filter

  • 27-06-2005 10:35am
    #1
    Ultimâ
    Closed Accounts Posts: 5 ✭


    Hi there,

    I've grasped the idea of an ordinary Kalman Filter and created a program that tracks a noisy signal. However when it comes to modifying the program to an EKF I'm at a total loss. I've spent weeks reading up on this and searching for examples, but I'm still unable to figure how to calculate the modified equations
    (especially the Jacobian terms). So I have decided to ask if anyone on these forums have any expertise in this area and could possibly help me out.

    Can anyone suggest how I calculate the Jacobians A_k (sometimes described as F_k) and H_k for a simple case of tracking an x-coordinate over time? I'm assuming the noise has no gain.

    Thanks,
    Charles


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