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The Kalman filter single variable estimation problem

2 The Kalman filter single variable estimation problem [Pg.285]

The Kalman filter is a eomplementary form of the Weiner filter. Let be a measurement of a parameter x and let its varianee Pa be given by [Pg.285]

Let be a measurement from another system of the same parameter and the varianee is [Pg.285]

The optimal value of K is the one that yields the minimum varianee, i.e. [Pg.285]

K is the Kalman gain and the total error varianee expeeted is [Pg.286]




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