Merge pull request #39 from pkulchenko/extended-kalman-chapter-typo

Fixed small typo in Extended Kalman chapter.
This commit is contained in:
Roger Labbe 2015-05-19 17:59:47 -07:00
commit 8399c6d4d6

View File

@ -509,7 +509,7 @@
"source": [
"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",
"\n",
"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",
"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",
"\n",
"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:"
]