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Covariance Update
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Distribution Non-linear
Bayes Filter
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Gaussian KF
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Particle Filters
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Importance Sampling | )
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[(
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)] If matrices and are observable, the Riccati Differential Equation has a positive-definite, symmetric solution for an arbitrary initial Numerical solver to obtain solution for RDE. EKF is accurate up to the 1st order as are updated from linearized which are only 1st order accurate. Gaussian KF is a special case of the Bayes Filter, and is optimal among linear and nonlinear filters. Assumed Gaussian distributions, but did not assume linear form. Importance Sampling can be replaced with Re)M Sampling. Sample an integer m ( times with probability proportional ( ) to get directly.
Assuming linear filter (and Gaussian noise), Kalman filter is the optimal minimum variance estimator among all linear (and non-linear) filters Poor observability Numerical instability Blind spot
Caveats