Lecture 8 The Kalman filter - Stanford University
https://web.stanford.edu/class/ee363/lectures/kf.pdf
State estimation we focus on two state estimation problems: • finding xˆt|t, i.e., estimating the current state, based on the current and past observed outputs • finding xˆt+1|t, i.e., predicting the next state, based on the current and past observed outputs since xt,Yt are jointly Gaussian, we can use the standard formula to find xˆt|t (and similarly for xˆt+1|t)
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