Mathematics, 21.04.2020 16:18 benwil0622a

If now we have a nonlinear dynamical system dx/dt=f(x) and we use MC to evolve an ensemble of realizations x1,x2,...,xm in time, but we want to apply the filtering step of the Kalman filter (just KF, no EnKF) anyway when data y|x~N(Hx, R) is collected, what extra step(s) do we need compared to the standard KF for a linear system?

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If now we have a nonlinear dynamical system dx/dt=f(x) and we use MC to evolve an ensemble of realiz...

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