The iterated Kalman filter update as a Gauss-Newton method.

Author(s)
Bell, B.M. & Cathey, F.W.
Year
Abstract

It is shown that the iterated Kalman filter (IKF) update is an application of the Gauss - Newton method for approcimating a maximum likelihood estimate. Also 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. (A)

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Publication

Library number
20021652 ST [electronic version only]
Source

IEEE Transactions on Automatic Control, Vol. 38 (1993), No. 2, p. 284-297, 6 ref.

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