CDS 110b: Kalman Filtering
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In this lecture we introduce the optimal estimation problem and describe its solution, the Kalman (Bucy) filter.
- State Space Computation for Stochastic Response
- Optimal Estimation
- Kalman Filter
References and Further Reading
Frequently Asked Questions
Q: How do you determine the covariance and how does it relate to random processes
The covariance of two random variables and is given by
For the case when , the covariance is called the variance, .
For a random process, , with zero mean, we define the covariance as
If is a vector of length , then the covariance matrix is an matrix with entries
where is the joint distribution desity function between and .
Intuitively, the covariance of a vector random process describes how elements of the process vary together. If the covariance is zero, then the two elements are independent.
Q: you asked what the estimator for the ducted fan would show (compared to eigenvalue placement). What should we be looking at and how would we be making those guesses?
This was not such a great question because you didn't have enough information to really make an informed guess. The main feature that is surprising about the result is that the convergence rate is much slower than eigenvalue placement.