Friday, June 26, 2009


For non linear system, the most important way to solve it is make it linear. The well known method is using Taylor formula. EKF is using Taylor formula to linear state equation and measure equation. And assuming the noise obey Gaussian.

But Taylor linear method is not the only way, the other way is using uncented transform to linearize the state equation and/or measure equation. It also assumes Gaussian noise.

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