The application of matrix differential calculus for the derivation of simplified expressions in approximate non-linear filtering algorithms

✍ Scribed by C. Bohn; H. Unbehauen

• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 119 KB
• Volume: 36
• Category: Article
• ISSN: 0005-1098
• DOI: 10.1016/s0005-1098(00)00069-8

✦ Synopsis

It is shown how matrix di!erential calculus can be used to obtain simpli"ed expressions for higher-order terms that appear in standard approximate non-linear "ltering algorithms such as the "rst-order bias-corrected "lter, the truncated second-order "lter, and the modi"ed Gaussian second-order "lter. These terms are much simpler and more compact than the standard expressions given in the literature; particularly, no element-by-element computations are necessary. For comparison, the approximate version of the Daum "lter is also included.