The Iterated Kalman Filter Update as a Gauss—Newton Method

Abstract

We show that the iterated Kalman filter (IKF) update is an application of the Gauss—Newton method for approximating a maximum likelihood estimate. We also present an example in which the iterated Kalman filter update and maximum likelihood estimate show correct convergence behavior as the observation becomes more accurate, whereas the extended Kalman filter update does not. © 1993, IEEE. All rights reserved.