Instead of propagating the state and its covariance matrix, the information filter works with the information vector and information matrix (invert of covariance matrix).
This filter has the advantage of being more stable than the Kalman Filter.
Plan:
- A new package shall be created in hipparchis-filtering : org.hipparchus.filtering.information
- Class should be implementing following Kalman filter implementation (i.e., same architecture) --> see Extended Kilter in org.hipparchus.filtering.kalman.extended
- Unit test shall be implemented
Reference :
Instead of propagating the state and its covariance matrix, the information filter works with the information vector and information matrix (invert of covariance matrix).
This filter has the advantage of being more stable than the Kalman Filter.
Plan:
Reference :