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Requirement Text
Consider automatic Kalman Filter Linearization for non-linear models
Background Information
KF algorithm can only be used with linear models. There are approaches to linearize non-linear models (e.g., DMD surrogate model)
Suggested Solution
Automatically generate linear surrogate model (e.g., DMD) to use in KF if using with non-linear model.
DoD
Consider if we want to do this.
If yes,
Implement feature
Add to example
Add tests
Add to change notes for next release
Note
We may not want to do this. The EKF does something similar (see nasa/progpy#30).
Note
Another alternative might be to show an example where someone uses generate_surrogate to create a DMD model and then uses that with the KF
Requirement Text
Consider automatic Kalman Filter Linearization for non-linear models
Background Information
KF algorithm can only be used with linear models. There are approaches to linearize non-linear models (e.g., DMD surrogate model)
Suggested Solution
Automatically generate linear surrogate model (e.g., DMD) to use in KF if using with non-linear model.
DoD
If yes,
Note
We may not want to do this. The EKF does something similar (see nasa/progpy#30).
Note
Another alternative might be to show an example where someone uses generate_surrogate to create a DMD model and then uses that with the KF
Note
Idea from @matteocorbetta
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