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probe set

technology2 mentionslast seen Sep 28, 2026

Small covariance-scaled collections of states at which a filter repeats its local approximation to improve gain selection and covariance consistency.

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probe setimplementsnonlinear Kalman filter

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preprintarXivSep 13, 2026Probe Sets for Nonlinear Kalman Filtering: Multi-Center Gains and Covariance Recalibration
we introduce probe sets, small covariance-scaled collections of states at which the filter repeats its local approximation. We then select the gain that minimizes the average covariance reported by these local approximations. The same construction is used in our previously proposed covariance recalibration step to improve covariance consistency. The construction applies to different KF variants without requiring a specific approximation rule.