Damped Posterior Linearization Filter
Matti Raitoharju, Lennart Svensson, Ángel F. García‐Fernández, Robert Piché · IEEE Signal Processing Letters · 2018
In this letter, we propose an iterative Kalman type algorithm based on posterior linearization. The proposed algorithm uses a nested loop structure to optimize the mean of the estimate in the inner loop and update the covariance, which is a computationally more expensive operation, only in the outer loop. The optimization of the mean update is done using a damped algorithm to avoid divergence. Our simulations show that the proposed algorithm is more accurate than existing iterative Kalman filters.