Merge pull request #39 from pkulchenko/extended-kalman-chapter-typo
Fixed small typo in Extended Kalman chapter.
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"As we can see there are two minor changes to the Kalman filter equations, which I have underlined. The first change replaces the equation $\\mathbf{x} = \\mathbf{Fx}$ with $\\mathbf{x} = f(\\mathbf{x})$. In the Kalman filter, $\\mathbf{Fx}$ is how we compute the new state based on the old state. However, in a nonlinear system we cannot use linear algebra to compute this transition. So instead we hypothesize a nonlinear function $f()$ which performs this function. Likewise, in the Kalman filter we convert the state to a measurement with the linear function $\\mathbf{Hx}$. For the extended Kalman filter we replace this with a nonlinear function $h()$, giving $\\mathbf{z}_x = h(\\mathbf{x})$.\n",
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"\n",
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"The only question left is how do we implement use $f()$ and $h()$ in the Kalman filter if they are nonlinear? We reach for the single tool that we have available for solving nonlinear equations - we linearize them at the point we want to evaluate the system. For example, consider the function $f(x) = x^2 -2x$.\n",
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"The only question left is how do we implement and use $f()$ and $h()$ in the Kalman filter if they are nonlinear? We reach for the single tool that we have available for solving nonlinear equations - we linearize them at the point we want to evaluate the system. For example, consider the function $f(x) = x^2 -2x$.\n",
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"\n",
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"The rest of the equations are unchanged, so $f()$ and $h()$ must produce a matrix that approximates the values of the matrices $\\mathbf{F}$ and $\\mathbf{H}$ at the current value for $\\mathbf{x}$. We do this by computing the partial derivatives of the state and measurements functions:"
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