10 Questions
What is the extended Kalman filter (EKF)?
A nonlinear version of the Kalman filter that linearizes about an estimate of the current mean and covariance
What is the optimal linear estimator for linear system models with additive independent white noise in both transition and measurement systems?
Kalman filter
What technique does the EKF adapt from calculus to linearize a model about a working point?
Multivariate Taylor series expansions
In what type of systems has the EKF been considered the de facto standard in the theory of nonlinear state estimation, navigation systems, and GPS?
Nonlinear systems
When are Monte Carlo methods, especially particle filters, employed for estimation in the context of the EKF?
If the system model is not well known or inaccurate
What is the primary advantage of the extended Kalman filter (EKF) over the traditional Kalman filter?
It can be applied to nonlinear systems by linearizing about an estimate of the current mean and covariance
What technique does the extended Kalman filter (EKF) adapt from calculus to linearize a model about a working point?
Multivariate Taylor series expansions
In what type of systems has the extended Kalman filter (EKF) been considered the de facto standard in the theory of nonlinear state estimation, navigation systems, and GPS?
Well defined transition models
What is employed for estimation in the extended Kalman filter (EKF) if the system model is not well known or inaccurate?
Monte Carlo methods, especially particle filters
What predated the existence of the extended Kalman filter (EKF) but is more computationally expensive for moderately dimensioned state-space?
Monte Carlo techniques
Test your knowledge of the extended Kalman filter (EKF) used in nonlinear state estimation, navigation systems, and GPS. Explore the history and mathematical foundations of Kalman type filters.
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