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. 2017 Sep 19;17(9):2147. doi: 10.3390/s17092147
Algorithm 1: Extended Kalman Filter
Given the initial state x0 and initial covariance matrix P0, update the state estimation as follows
Compute the predicted state: x^k|k1=f(xk1,wk1)
Compute the process model Jacobian matrix : Fk1=fx|xk1 Gk1=fw|xk1
Compute the predicted covariance matrix : Pk|k1=Fk1Pk1Fk1T+Gk1Qk1Gk1T
Compute the Kalam gain: Kk=Pk|k1HT(HPk|k1HT+Rk)1
Update the state estimation: xk=x^k|k1+Kk(zkh(x^k|k1))
Update the covariance matrix: Pk=Pk|k1KkHPk|k1