The Kalman filter multivariable state estimation problem

3 The Kalman filter multivariable state estimation problem 

The general form of the Kalman filter usually eontains a diserete model of the system together with a set of reeursive equations that eontinuously update the Kalman gain matrix K and the system eovarianee matrix P. 

The term (/c//c) means data at time k based on information available at time k. The term (/c + 1 jk) means data used at time k + 1 based on information available at time k. Similarly (/c + l//c + 1) means data at time k + 1 based on information available at time /c + 1. 

The reeursive proeess eontinues by substituting the eovarianee matrix P(/c + l//c + 1) eomputed in equation (9.76) baek into (9.74) as P(/c//c) until K(/c+ 1) settles to a steady value, see Appendix 1, seript files kalfilc.m for the eontinuous solution and kalfild.m for the above diserete solution. In equations (9.74)-(9.76) 

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