Week 9: Extended Kalman Filter
This week, I present the discrete and continuous-discrete formulations of the extended Kalman filter. This is an approximation of the KF for non-linear systems. Material: Chapter 6 – Part I: Discrete Extended Kalman Filter Chapter 6 – Part II: Continuous-Discrete Extended Kalman Filter Previous post of this course: Week 1: Syllabus + Introduction Week 2: Linear Algebra + Linear Systems Week 3: Set + Probability + Random Variables Week 4: Random Variables + Random Vectors Week 5: Random Vectors + Stochastic Processes Week 6: Stochastic Continue→