APPLICATION OF THE KALMAN FILTER TO SEQUENTIAL OPTIMAL PARAMETER ESTIMATION VIA HOUSEHOLDER'S MATRIX INVERSION METHOD.
ARMY TEST AND EVALUATION COMMAND WHITE SANDS MISSILE RANGE N MEX DEPUTY FOR NATIONAL RANGE OPERATIONS
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A detailed derivation of the computable discrete equations for parameter estimation are developed in a geometrical vector-space setting for the state-space novice. Classical least squares curve fitting when approached with Kalmans sequential prediction-correction techniques look like state-vector feedback control problems. It is hoped that this paper will help bridge the gap between some of the modern and classical theory of systems analysis. Author
- Statistics and Probability