This paper derives a nonlinear observer design problem for nonlinear Stochastic State-Space Systems using the Continuous Extended Kalman Filter for Accurate Trajectory Tracking, which uses a system’s Jacobian linearization along the current best estimate of its trajectory. The efficiency of Continuous Extended Kalman Filter is shown on a Trajectory Tracking Problem with sufficiently long sampling periods. Here, we showed that increased in principal diagonal of the initial covariance matrix, improve the trajectory tracking.

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