slr_definition, statistical linear regression function.
GeneralLinearGaussian measurement model that consumes explicitly specified transition matrix and bias.
The Iterated Posterior Linearization FIlter (IPLF) described in [1] is obtained by iteratively linearising the measurement function using statistical linear regression (SLR) with respect to the posterior (rather than the prior), to take into account the information provided by the measurement.
[1] Á. F. García-Fernández, L. Svensson, M. R. Morelande and S. Särkkä, "Posterior Linearization Filter: Principles and Implementation Using Sigma Points," in IEEE Transactions on Signal Processing, vol. 63, no. 20, pp. 5561-5573, Oct.15, 2015, doi: 10.1109/TSP.2015.2454485.
This PR adds the following classes:
The Iterated Posterior Linearization FIlter (IPLF) described in [1] is obtained by iteratively linearising the measurement function using statistical linear regression (SLR) with respect to the posterior (rather than the prior), to take into account the information provided by the measurement.
A running example can be found here.
[1] Á. F. García-Fernández, L. Svensson, M. R. Morelande and S. Särkkä, "Posterior Linearization Filter: Principles and Implementation Using Sigma Points," in IEEE Transactions on Signal Processing, vol. 63, no. 20, pp. 5561-5573, Oct.15, 2015, doi: 10.1109/TSP.2015.2454485.