Description: This is a tutorial on nonlinear extended Kalman filter (EKF). It uses the standard EKF fomulation to achieve nonlinear state estimation. Inside, it uses the complex step Jacobian to linearize the nonlinear dynamic system. The linearized matrices are then used in the Kalman filter calculation.
File list (Check if you may need any files):
kalman-bucy
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...........\....\runkalmanbucy.html
...........\kalmanbucy.mdl
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