The Recursive Gauss-Newton Filter

Details The Recursive Gauss-Newton Filter The Recursive Gauss-Newton Filter

2011-10-24

arxiv.org/abs/1110.5212v1

Nonlinear Sciences

Adaptation and Self-Organizing Systems

Scientific paper

This paper presents a compact, recursive, non-linear, filter, derived from the Gauss-Newton (GNF), which is an algorithm that is based on weighted least squares and the Newton method of local linearisation. The recursive form (RGNF), which is then adapted to the Levenberg-Maquardt method is applicable to linear / nonlinear of process state models, coupled with the linear / nonlinear observation schemes. Simulation studies have demonstrated the robustness of the RGNF, and a large reduction in the amount of computational memory required, identified in the past as a major limitation on the use of the GNF.

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