Nonlinear Observation Scheme and Dynamic Model (Extended Kalman Filter)
Eli Brookner DSc · 1998
In this chapter the results for the linear time-invariant and time-variant cases are extended to where the observations are nonlinearly related to the state vector and/or the target dynamics model is a nonlinear relationship. The approaches described involve the use of linearization procedures. This linearization allows one to apply the linear least-squares and minimum-variance theory results obtained so far. When these linearization procedures are used with the Kalman filter, one obtains what is called the extended Kalman filter.