JuliaControl / JuliaControl/ModelPredictiveControl.jl
Support Joseph-form in Kalman filters
Open
@franckgaga is already working on this.
Since Sep 11, 2024.
enhancement
good first issue
- Dominant language
- Julia
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- 135
- Forks
- 9
- Avg merge
- 17h 35m
- Merged PRs (30d)
- 16
Description
It would be nice to support the Joseph-form covariance update equation in KalmanFilter, ExtendedKalmanFilter and UnscentedKalmanFilter. It theoretically guarantee positive-definite covariance matrices, even with finite precision floating-point arithmetic.
In my experience although, I never had any problems with the classical equation, both with the Kalman filter and the unscented version. I personally don't consider that as a high priority feature.
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