Continuous-discrete extended and unscented Kalman filtering

probabilistic-numerics / probnum

Probabilistic Numerics in Python.

http://probnum.org

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Continuous-discrete extended and unscented Kalman filtering #234

Open pnkraemer opened 3 years ago

pnkraemer commented 3 years ago

Would be neat to be able to do continuous-discrete ekf and ukf in the sense that a non-linear prior is linearised. So far, only a non-linear measurement model is linearised. See eg. Algorithm 10.24 in Applied SDEs (https://users.aalto.fi/~asolin/sde-book/sde-book.pdf).

Will reference the respective place in the code base soon.

pnkraemer commented 3 years ago

continuous EKF component is covered in #231. This may serve as a template for the continuous UKF component, which will be added at some point in the future.