DUAL EXTENDED KALMAN FILTER METHODS
Eric A. Wan and Alex T. Nelson
Department of Electrical and Computer Engineering, Oregon Graduate Institute of Science and Technology, Beaverton, Oregon, U.S.A.
5.1 INTRODUCTION The Extended Kalman Filter (EKF) provides an efﬁcient method for generating approximate maximum-likelihood estimates of the state of a discrete-time nonlinear dynamical system (see Chapter 1). The ﬁlter involves a recursive procedure to optimally combine noisy observations with predictions from the known dynamic model. A second use of the EKF involves estimating the parameters of a model (e.g., neural network) given clean training data of input and output data (see Chapter 2). In...