Does lim (t to infty) E(x-x hat) = 0 imply that there will be less disturbance over time?
here denotes the expected value of , where is a random variable. only implies that the mean estimation error will converge to zero over time. Disturbance, however, will affect the variance of the error, which is given by . In CDS 110b, we will learn how to design observers that minimize this estimation variance if the disturbance can be modeled as Gaussian noise.