I have a nonlinear system, and I need to use the extended kalman filter to estimate it. I know I need the jacobian, but once I get that, is everything else the same as the normal kalman filter?
I currently have the state equations updating in a loop because everything is discrete, so for example
x(0) = 5 for k 2:100 x(k) = x(k-1) + 2 end
I am unsure how to get the jacobian from constants like this, I was considering by hand but some of the equations are a little complicated and I figured there would be an easier MATLAB solution I dont know. And once I get the jacobian, I am unsure where to go. I have some working code for the regular linear case kalman filter from an older project, can I somehow make that work?
Thanks for any help