IEEE Transactions on Automatic Control · 1993 · 488 citations · 1 references
State EstimationNumerical AnalysisNonlinear FilteringEngineeringData ScienceRobust ModelingGauss-newton MethodUncertainty EstimationMaximum Likelihood EstimateGaussian ProcessIterated Kalman FilterGaussian AnalysisInverse ProblemsEstimation TheoryPrecision NavigationSignal Processing
It is shown that the iterated Kalman filter (IKF) update is an application of the Gauss-Newton method for approximating a maximum likelihood estimate. An example is presented in which the iterated Kalman filter update and maximum likelihood estimate show correct convergence behavior as the observation becomes more accurate, whereas the extended Kalman filter update does not.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>
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A comparison of three non-linear filters
R. P. Wishner, J. A. Tabaczynski, Michael Athans · Automatica · 1969 · 155 citations