How do you apply Kalman filter to a non-linear system

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Ezgi on 20 Mar 2014
Answered: John Petersen on 28 Jul 2014
I linearized the non linear system and designed a Kalman filter. Now I want to apply this filter to the non linear system. Since there is no transfer function or A,B,C,D state space matrices, I don't know how to do it.

Answers (1)

John Petersen
John Petersen on 28 Jul 2014
Use Extended Kalman filter. For predict equations, leave it non-linear. Use linearized equations for calculating K and updating P.

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