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A Kalman filter is an optimal estimator for linear dynamical systems with Gaussian noise. Extensions to non-linear systems are included through the Extended KF and Unscented KF.

2 votes

Are there systematic ways to tune the Kalman filter in engineering practice?

As I understand you are asking for ways to set initial x(the state vector), initial P (the covariance matrix), the process noise covariance matrix Q and the measurement noise covariance matrix R. For …
MrHat's user avatar
  • 193
2 votes
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Position-Attitude Kalman filter with Quaternions

I want to design an EKF to estimate the position of a UAV. If I were doing this with Euler angles then I would have a state vector that would look like \begin{bmatrix}north&east&down&vel_x&vel_y&vel_ …
MrHat's user avatar
  • 193