"Extended Kalman Filter covariance matrix definition"

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M.M 2022-3-11

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评论： M.M 2022-6-24

Hello,

I am using the Extended Kalman Filter Simulink model for my project. When I run, I get the following warning:

"Matrix is singular to working precision."

The state transition covariance matrix(Q) I defined is eye(4)*0.01, which is not singular. Is there any idea of what the warning means?

Thanks

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M.M 2022-3-17

Thank you for your reply @Benjamin Thompson. Some of the concepts of KF and EKF were confusing to me. The problem has been solved with your help.

M.M 2022-6-24

Does it make sense to use EKF for linear systems? I used transfer function system identification method for my data. As trnasfer function provide a linear model, I used KF to estimate the states of the system, but the KF could not provide a good approoximation. I tried EKF and it estimated perfectly. I'm looking for a source/paper to see if EKF may be used in linear systems where KF cannot provide a good estimate.

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