Variables Linear Discrete KF Initial Conditions Kalman Gain State Transition Propagation State Transition Update Observation Error

Covariance Update
( [ ) ] ( ) ( ) ( ( ( ) ) ( )) ??? [ ( ) ( ) ] ( ) ( )

Distribution Non-linear

Continuous KF / Linearized ) KF ( Extended KF ( )

Bayes Filter
( )

Gaussian KF
( )

Particle Filters
( )

( Measure to get Generate to get

)with M particles/samples ( ) ( ) { } ( ( { ) from

) ( )

( ) Joes form ) (

Importance Sampling | )

Chapman-Kolmogorov Equation ( ) ( ( )) ( )

( ) is Gaussian with mean and covariance

( )

( ) *

( )

)) (

( )

Error Covariance Propagation

???

( )

( ))

( )

( ) (

( ) (

( )

( )) ( )

) ( with mean and covariance

Draw M samples from ( ) { to get

( )

( ) }

Cost Function Advantages

[(

) (

)] If matrices and are observable, the Riccati Differential Equation has a positive-definite, symmetric solution for an arbitrary initial Numerical solver to obtain solution for RDE. EKF is accurate up to the 1st order as are updated from linearized which are only 1st order accurate. Gaussian KF is a special case of the Bayes Filter, and is optimal among linear and nonlinear filters. Assumed Gaussian distributions, but did not assume linear form. Importance Sampling can be replaced with Re)M Sampling. Sample an integer m ( times with probability proportional ( ) to get directly.

Assuming linear filter (and Gaussian noise), Kalman filter is the optimal minimum variance estimator among all linear (and non-linear) filters Poor observability Numerical instability Blind spot

Non-Gaussian, arbitrary distributions

Caveats