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Add Jacobian EKF #61

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SamDuffield opened this issue Apr 16, 2024 · 0 comments
Open

Add Jacobian EKF #61

SamDuffield opened this issue Apr 16, 2024 · 0 comments
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new method New algorithm

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@SamDuffield
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ekf.diag_fisher implements a natural gradient descent version of EKF https://arxiv.org/abs/2112.00195

But it is more common to use a version that linearises using the Jacobian of the forward function and then adds Gaussian observation noise, as in https://arxiv.org/abs/2112.00195

@SamDuffield SamDuffield added the new method New algorithm label Apr 16, 2024
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