Extended Kalman Filter - Invariant Extended Kalman Filter

Invariant Extended Kalman Filter

The invariant extended Kalman filter (IEKF) is a modified version of the EKF for nonlinear systems possessing symmetries (or invariances). It combines the advantages of both the EKF and the recently introduced symmetry-preserving filters. Indeed, instead of using a linear correction term based on a linear output error, it uses a geometrically adapted correction term based on an invariant output error; in the same way the gain matrix is not updated from a linear state error, but from an invariant state error. The main benefit is that the gain and covariance equations converge to constant values on a much bigger set of trajectories than equilibrium points as it is the case for the EKF, which results in a better convergence of the estimation.