Learning the Extended Kalman Filter

This is a tutorial on nonlinear extended Kalman filter (EKF). It uses the standard EKF fomulation to achieve nonlinear state estimation. Inside, it uses the complex step Jacobian to linearize the nonlinear dynamic system. The linearized matrices are then used in the Kalman filter calculation.

The complex step differentiation seems improving the EKF performance particularly in accuracy such that the optimization and NN training through the EKF are better than through the UKF (unscented Kalman filter, http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=18217&objectType=FILE). Other complex step differentiation tools include the CSD Hessian available at http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=18177&objectType=FILE.