[if possible, follow-up to BFL]
On Tue, Jan 26, 2010 at 8:17 PM, Ben Podgursky <bpodgursky [..] ...> wrote:
> Hi all,
> First, I'm sorry if this is the wrong place to post this; I've tried posting
> in the forum but it's flagging my post as spam no matter how I try to word
> it, so I decided to try here...
weird, personally I always use the mailinglist interface instead of the forum.
> I've been looking into BFL to implement a Kalman filter in a project I'm
> working on. BFL seems to be a great project compared to most filtering
> libraries I've seen--well documented, easy to use.
> However, I can't find reference to one feature that some other libraries
> have, an Unscented Kalman filter. I would really prefer using a UKF for my
> project because I'm working with equations generated at runtime, and I
> really don't want to implement the symbolic differentiation I'd need for an
> Extended Kalman Filter...
> Does BFL have a UKF implemented that I've missed? And if not, does anyone
> have an idea how difficult it would be for me to extend the library to
> implement one?
I don't think it does, for a simple reason. It's been a while since
I've looked at BFL, but the reason that a UKF isn't in BFL yet is that
a UKF didn't yield the best results for the problems we we're tackling
with BFL. I don't recall the details but you might try google and
search for "tine lefebvre unscented" and something like that.
That said, it should be perfectly possible to implement a UKF in BFL
and IIRC, in one of the above papers, Tine showed that the UKF can be
seen as a special case of what we called linear regression kalman
filter (which might be an intermediate step).
I hereby promise not to top-post on the
BFL mailing list
BFL [..] ...