I am implementing a kalman filter based on a paper. The state-space vector has 6 variables, as the state variable changes with the evaluation of time, and the paper also provides the differential equations of the variables with the evaluation of time (dt). My question is that when implementing this concept in python, how I should use the differential equation with the dt. I was wondering to simply multiply the equation with dt but I think that this is not the solution as it is a differential equation. Kindly guide me in this respect. Also, I want to ask that as these equations will estimate the new states, so they should be added in the update step? Thanks!
Kalman filter state equation with respect to dt (evolution of time)
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There are two different useful functions for solving ODEs in
scipy.integrate-scipy.integrate.odeint()andscipy.integrate.solve_ivp()for initial value problems. I don't know enough about your system to answer your last question.