The Epoch-State Filter, Revisited

What is it about?

The epoch-state filter is a recursive sequential estimator that maintains its state estimate and associated covariance at a fixed time known as the epoch, avoiding the need to propagate the covariance between measurements. Instead, the filter maps measurement innovations from the measurement time to the epoch time, in a fashion similar to a batch estimator. When process noise is present, the epoch time must follow all but at most the penultimate measurement. Revisiting the topic, this paper contributes several variations, including factorized, factorized information, and sigma-point versions, and provides a number of clarifying illustrative examples.

Featured Image