Clustered Exact Daum-Huang Particle Flow Filter

Algorithm 2

Local Exact Flow Daum-Huang Filter.

7  for to do

8   Set ;

9   for to do

10    Calculate by linearizing at ;

11    Calculate and from (8) and (9) using and ;

12    Evaluate for each particle from (7)

13    Migrate particles:

14   endfor

15   Re-evaluate using the updated particles .

16  endfor

17  Apply UKF/EKF update: ;

18  Estimate from the particles using ;

19  Set ;

20  Redraw particles ; (Optional)