Extended Kalman Filter Jacobian

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Sigalit on 24 Jul 2014
Answered: John Petersen on 28 Jul 2014
The non linearity of my EKF implementation evolves mainly from coordinate conversions (ECEF, LLA, and more). As far as I have checked, the numeric derivation of these conversions (for the sake of yielding the Jacobian) is sufficiently fast and accurate. Is there a known limitation for this numeric solution relative to the analytic one? Is it customary to use numeric derivation for EKF or is the analytic one preffered?
Thank you!

Accepted Answer

John Petersen
John Petersen on 28 Jul 2014
I would suggest you do the coordinate conversions outside of the EKF equations. Can you stay in a local coordinate frame within the EKF equations?

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