Unscented Kalman Filter Tutorial

update to Cholesky factorization. Sf k = cholupdate Sf k, (x f,0 k −x f k), sgn{W 0} √ W0 (29) where sgn is the sign function and cholupdate returns the Cholesky factor of Sf k (S f k) T +W0 xf,0 k −x f k xf,0 k −x f k T Therefore the forecast covariance matrix can be written Pf k = S f k (S f k) T. The same way the posterior co ...

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