About: Invariant extended Kalman filter

The invariant extended Kalman filter (IEKF) (not to be confused with the iterated extended Kalman filter) was first introduced as a version of the extended Kalman filter (EKF) for nonlinear systems possessing symmetries (or invariances), then generalized and recast as an adaptation to Lie groups of the linear Kalman filtering theory. Instead of using a linear correction term based on a linear output error, the IEKF uses a geometrically adapted correction term based on an invariant output error; in the same way the gain matrix is not updated from a linear state error, but from an invariant state error. The main benefit is that the gain and covariance equations have reduced dependence on the estimated value of the state. In some cases they converge to constant values on a much bigger set of