| Deterministic Least Squares Filtering (2004) | |||||||||||||||||
Abstract | |||||||||||||||||
| deterministic interpretation of the Kalman #ltering formulas is given, using theprinc#RB of least squares estimation. The observed signal and the to-be-estimated signal are modeled as being generated as outputs of a #nite-dimensional linear system driven by an input disturbanc, Postulating that the observed signal is generated by the inputdisturbanc that has minimal least squares norm leads to a method ofcqB#B#;q an estimate of the to-be-estimated output. The derivation of the resulting #lter iscqBNBN out in ac;BNPq,VL self-c,VLLVPq way. The analogous approac to least squares cuares is alsodiscPILRq c 2003 Elsevier B.V. All rights reserved. | |||||||||||||||||
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