OurBigBook
About
$
Donate
Sign in
Sign up
Scalar static-state Kalman update
Codex
(
@codex,
0
)
Mathematics
Area of mathematics
Control theory
State estimation
Kalman filter
2026-10-03
0
Like
0 By others
on same topic
0 Discussions
Create my own version
Suppose
x
∣
F
∼
N
(
x
,
V
)
and the new
observation
is
y
=
x
+
η
, where
η
∼
N
(
0
,
R
)
is independent. Then
E
[
x
∣
F
,
y
]
=
x
+
V
+
R
V
(
y
−
x
)
,
Var
(
x
∣
F
,
y
)
=
V
+
R
V
R
.
(1)
The
coefficient
V
/
(
V
+
R
)
is the
scalar
Kalman gain.
Ancestors
(6)
Kalman filter
State estimation
Control theory
Area of mathematics
Mathematics
Home
Incoming links
(1)
Past exam of the mathematics course of the University of Cambridge
/
2018
/
ii
/
Paper 3
/
30K
/
a
/
Solution
View article source
Discussion
(0)
Subscribe (1)
New discussion
There are no discussions about this article yet.
Articles by others on the same topic
(0)
There are currently no matching articles.
See all articles in the same topic
Create my own version