extended⚓︎
The extended KF (EKF) and the (Rauch-Tung-Striebel) smoother.
ExtKF
⚓︎
Bases: da_method
The extended Kalman filter.
If everything is linear-Gaussian, this provides the exact solution to the Bayesian filtering equations.
- infl (inflation) may be specified. Default: 1.0 (i.e. none), as is optimal in the lin-Gauss case. Gets applied at each dt, with infl_per_dt := inlf**(dt), so that infl_per_unit_time == infl. Specifying it this way (per unit time) means less tuning.