CDS 110b: Kalman Filtering

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Course Home

L7-2: Sensitivity

L8-1: Robust Stability

L9-1: Robust Perf

Schedule

In this lecture we introduce the optimal estimation problem and describe its solution, the Kalman (Bucy) filter.

Lecture Outline

1. State Space Computation for Stochastic Response
2. Optimal Estimation
3. Kalman Filter

Lecture Materials

• Lecture presentation
• Lecture Notes on Kalman Filters
• Reading: Friedland, Chapter 11