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konimarti / kalman

Adaptive Kalman filter in Golang
MIT License
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Reference for ROSE? #7

Closed roger- closed 3 months ago

roger- commented 1 year ago

Curious about what ROSE is. Is there a good reference?

konimarti commented 1 year ago

A good reference is the following book (in german): https://link.springer.com/book/10.1007/978-3-658-16728-8

Same author also published a paper about ROSE vs conventional Kalman filters here.

Hope this helps

roger- commented 1 year ago

Thanks!

I don't understand German but it seems like they are using an innovation based measurement covariance estimate from an EWMA filter and a steady state Kalman gain (with some dependency on the covariance).

Still not clear where the name comes from but this helps!

konimarti commented 3 months ago

ROSE = Rapid Ongoing Stochastic covariance Estimation