The iterated Kalman filter update as a Gauss-Newton method
- 1 February 1993
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 38 (2) , 294-297
- https://doi.org/10.1109/9.250476
Abstract
It is shown that the iterated Kalman filter (IKF) update is an application of the Gauss-Newton method for approximating a maximum likelihood estimate. An example is presented in which the iterated Kalman filter update and maximum likelihood estimate show correct convergence behavior as the observation becomes more accurate, whereas the extended Kalman filter update does not.<>Keywords
This publication has 2 references indexed in Scilit:
- Linear Statistical Inference and its ApplicationsPublished by Wiley ,1973
- A comparison of three non-linear filtersAutomatica, 1969