Unscented filter with non-zero process noise

Hipparchus development
13

@markrutten

I think we disagree. Not about which algorithm is right or wrong, but about how to say things.

My concern is not about which algorithm is right or wrong. On the contrary, I find Algorithm (2) much more interesting than (1). My concern is to have in Hipparchus as many possibilities as can be found in the literature.

For instance, [1] and [2] present both implementations. None of these references accuse an algorithm of being wrong. They just present both. Therefore, I find important, for a library that has to offer as many possibilities as possible to its users, to have both.

Again, I prefer Algorithm (2) too! I’m just asking about two possibilities instead of just one in the code :slight_smile:

[1] James Woodburn, Vincent Coppola, “ANALYSIS OF RELATIVE MERITS OF UNSCENTED AND EXTENDED KALMAN FILTERS IN ORBIT DETERMINATION”, AAS Paper 19-781, 2019 (1.9 MB)

[2] Van Der Merwe, Rudolph, and Eric A. Wan. “The square-root unscented Kalman filter for state and parameter-estimation.” 2001 IEEE international conference on acoustics, speech, and signal processing. Proceedings (Cat. No. 01CH37221). Vol. 6. IEEE, 2001|attachment (368.1 KB)

Regards,
Bryan