`torchfilter.filters._unscented_kalman_filter`

Private module; avoid importing from directly.

Module Contents

Standard UKF.

class torchfilter.filters._unscented_kalman_filter.UnscentedKalmanFilter(*, dynamics_model: DynamicsModel, measurement_model: KalmanFilterMeasurementModel, sigma_point_strategy: utils.SigmaPointStrategy | None = None)[source]

Standard UKF.

From Algorithm 2.1 of Merwe et al. [1]. For working with heteroscedastic noise models, we use the weighting approach described in [2].

[1] The square-root unscented Kalman filter for state and parameter-estimation. https://ieeexplore.ieee.org/document/940586/