How a Kalman filter works, in pictures (2015)

Re:How a Kalman filter works, in pictures (2015) by rawnlq on Saturday January 21, 2017 @11:09AM (#13450641)

Kalman filters are never going to completely go away since they are optimal[1] under certain assumptions. But these assumptions are often not met so you have to start approximating (with EKF or UKF).

In those scenarios, once computational power allows, I think other approaches such as particle filters which can handle arbitrary distributions(e.g., multimodal) will start taking over. But we're not there yet(?).

[1]https://en.wikipedia.org/wiki/Kalman_filter#Optimality_and_p...

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Re:How a Kalman filter works, in pictures (2015) by kurthr on Saturday January 21, 2017 @06:31PM (#13452712)

I agree both EKF and UKF are what you'll find in real world applications (because computing Jacobians is a pain!). I find the work of Jeffery Uhlmann both incredibly useful and hilarious (in that the "Unscented Kalman Filter" came from a stick of deodorant on a co-workers desk).

http://ethw.org/First-Hand:The_Unscented_Transform

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