PPT Slide
In the linear case, equations (1) and (2) become
In the nonlinear case the Extended Kalman Filter is used
- In this case the track propagator has to be approximated by a linear function where fk is replaced by the first two terms in a Taylor series expansion
(5)
where
(6)
- Example: In two variables, f(x,y), we have
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- The measurement equation (2) can usually be made linear by an appropraite choice of the state vector