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1 results

  • 9 - The Kalman Filter as an Application

  • from Part I - Lectures on Basics with Examples
  • Patrick Dewilde, Technische Universität München, Klaus Diepold, Technische Universität München, Alle-Jan Van der Veen, Technische Universiteit Delft, The Netherlands
  • Book:
    Time-Variant and Quasi-separable Systems
    Published online:
    24 October 2024
    Print publication:
    31 October 2024, pp 136-153

  • Summary

    The set of basic topics then continues with a major application domain of our theory: linear least-squares estimation (llse) of the state of an evolving system (aka Kalman filtering), which turns out to be an immediate application of the outer–inner factorization theory developed in Chapter 8. To complete this discussion, we also show how the theory extends naturally to cover the smoothing case (which is often considered “difficult”).