EE3901/EE5901 Sensor Technologies
Week 4 — Kalman filters for non-linear systems

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Written by Dr. Bronson Philippa
College of Science and Engineering, James Cook University

The basic Kalman filter discussed last week is limited to linear systems. This week we investigate two methods to extend the Kalman filter to arbitrary, non-linear systems. Specifically we study the Extended Kalman Filter and the Unscented Kalman Filter.