A polynomial approximation to the minimum energy estimator is derived from successive differentiations of the value function, reducing to the extended Kalman filter at lowest order and showing local convergence in numerical tests up to order eight.
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Approximations of the Mortensen observer using higher order extended Kalman filters
A polynomial approximation to the minimum energy estimator is derived from successive differentiations of the value function, reducing to the extended Kalman filter at lowest order and showing local convergence in numerical tests up to order eight.