Application of Consider Covariance to the Extended Kalman Filter

The extended Kalman filter (EKF) is the basis for many applications of filtering theory to real-time problems where estimates of the state of a dynamical system are to be computed based upon some set of observations. The form of the EKF may vary somewhat from one application to another, but the fundamental principles are typically unchanged among these various applications. As is the case in many filtering applications, models of the dynamical system (differential equations describing the state variables) and models of the relationship between the observations and the state variables are created. These models typically employ a set of constants whose values are established my means of theory or experimental procedure. Since the estimates of the state are formed assuming that the models are perfect, any modeling errors will affect the accuracy of the computed estimates. Note that the modeling errors may be errors of commission (errors in terms included in the model) or omission (errors in terms excluded from the model). Consequently, it becomes imperative when evaluating the performance of real-time filters to evaluate the effect of modeling errors on the estimates of the state.