Identification & Estimation

In the previous article, we had learned about Kalman filter. As Kalman filter assumes linear system but finds greatest applications in non-linear systems. Kalman filter assumes an approximate solution, describe the deviations from the reference by linear equations. Kalman filter has issues of divergence also. When the error covariance matrix Pk computed by the Kalman filter … Read more

The Kalman filter is a recursive state space model based estimation algorithm. In other words, it is an optimal recursive data processing algorithm. Kalman filter is also called as the Predictor-Corrector algorithm. This filter is named after Rudolph E. Kalman, who in 1960 published his famous paper describing a recursive solution to the discrete data … Read more