Discrete Extended Kalman Filter on Lie groups

@article{Bourmaud2013DiscreteEK,
  title={Discrete Extended Kalman Filter on Lie groups},
  author={Guillaume Bourmaud and R{\'e}mi M{\'e}gret and Audrey Giremus and Yannick Berthoumieu},
  journal={21st European Signal Processing Conference (EUSIPCO 2013)},
  year={2013},
  pages={1-5}
}
In this paper, we generalize the Discrete Extended Kalman Filter (D-EKF) to the case where the state and the observations evolve on Lie group manifolds. We propose a new filter called Discrete Extended Kalman Filter on Lie Groups (D-LG-EKF). It assumes that the posterior distribution of the state is a concentrated Gaussian distribution on Lie groups. Our formalism yields closed-form equations for both nonlinear discrete propagation and update of the distribution parameters based on the… CONTINUE READING
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