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A Zakai equation derivation of the extended Kalman filter

✍ Scribed by Robert J. Elliott; Simon Haykin

Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 841 KB
Volume: 46
Category: Article
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2010.01.006

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✦ Synopsis

A discrete time filter is considered where both the observation and signal process have non-linear dynamics with additive Gaussian noise. Using the reference probability framework a convolution type Zakai equation is obtained which updates the unnormalized conditional density. Using first order approximations this equation can be solved recursively and the extended Kalman filter can be derived.

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