Data Structures and Algorithms


Kalman Folding 5: Non-Linear Models and the EKF

Authors: Brian Beckman

We exhibit a foldable Extended Kalman Filter that internally integrates non-linear equations of motion with a nested fold of generic integrators over lazy streams in constant memory. Functional form allows us to switch integrators easily and to diagnose filter divergence accurately, achieving orders of magnitude better speed than the source example from the literature. As with all Kalman folds, we can move the vetted code verbatim, without even recompilation, from the lab to the field.

Comments: 11 Pages.

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Submission history

[v1] 2016-07-07 09:50:50

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