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Abstract

The problem addressed by the Kalman-Bucy filter theory is the following one. Given a linear dynamical system driven by noise, construct a “real-time” estimate of the state of the system, based on noisy observations of the output of the system.

Keywords

Optimal Filter Optimal Gain Step Predictor Innovation Sequence Projection Theorem 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • Jon H. Davis
    • 1
  1. 1.Department of Mathematics and StatisticsQueen’s UniversityKingstonCanada

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