search

rodralez / NaveGo

NaveGo: an open-source MATLAB/GNU Octave toolbox for processing integrated navigation systems and performing inertial sensors analysis.
Other
573 stars 210 forks source link

H matrix should be sustitude by S matrix in Kalman filter, relates to #101 #103

Closed rodralez closed 2 years ago

rodralez commented 2 years ago

3.kf_update.m kf.Pp = kf.Pi - kf.K kf.S kf.K'; %kf.Pp = kf.Pi - kf.K kf.H kf.Pi;

Why not the second line in your code, usually the first one is not used in books or papers. If kf. S is an orthogonal matrix, the results of the upper and lower rows are consistent,otherwise they are different.

rodralez commented 2 years ago

The update of the a posteriori estimate covariance Pp was taken from the book "Simo Särkkä (2013). Bayesian Filtering and Smoothing. Cambridge University Press", Eq. 3.10.

Reference is updated.