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Algorithm 1 Iterated Extended Kalman Filter Algorithm |
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1:
▹ Define initial state
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2:
▹ Define initial state covariance
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3:
for to T do
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4:
▹ a priori state estimate
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5:
▹ a priori state estimate covariance
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6:
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7:
for to N do
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8:
▹ a priori measurement estimate
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9:
▹ Kalman gain
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10:
▹ a posteriori state estimate
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11:
▹ a posteriori state estimate covariance
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12:
end for
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13:
end for
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