Kalman filtering with state constraints: a survey of linear and nonlinear algorithms

The Kalman filter is the minimum-variance state estimator for linear dynamic systems with Gaussian noise. Even if the noise is non-Gaussian, the Kalman filter is the best linear estimator. For nonlinear systems it is not possible, in general, to derive the optimal state estimator in closed form, but various modifications of the Kalman filter can be used to estimate the state. These modifications include the extended Kalman filter, the unscented Kalman filter, and the particle filter. Although the Kalman filter and its modifications are powerful tools for state estimation, we might have information about a system that the Kalman filter does not incorporate. For example, we may know that the states satisfy…