Kalman filter equation

См. также в других словарях:

• Kalman filter — Roles of the variables in the Kalman filter. (Larger image here) In statistics, the Kalman filter is a mathematical method named after Rudolf E. Kálmán. Its purpose is to use measurements observed over time, containing noise (random variations)… …   Wikipedia

• Ensemble Kalman filter — The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman filter …   Wikipedia

• Fast Kalman filter — The fast Kalman filter (FKF), devised by Antti Lange (1941 ), is an extension of the Helmert Wolf blockingfn|1 (HWB) method from geodesy to real time applications of Kalman filtering (KF) such as satellite imaging of the Earth. Kalman filters are …   Wikipedia

• Digital filter — A general finite impulse response filter with n stages, each with an independent delay, di, and amplification gain, ai. In electronics, computer science and mathematics, a digital filter is a system that performs mathematical operations on a… …   Wikipedia

• Nonlinear filter — A nonlinear filter is a signal processing device whose output is not a linear function of its input. Terminology concerning the filtering problem may refer to the time domain (state space) showing of the signal or to the frequency domain… …   Wikipedia

• Particle filter — Particle filters, also known as sequential Monte Carlo methods (SMC), are sophisticated model estimation techniques based on simulation. They are usually used to estimate Bayesian models and are the sequential ( on line ) analogue of Markov chain …   Wikipedia

• Recursive least squares filter — Recursive least squares (RLS) algorithm is used in adaptive filters to find the filter coefficients that relate to recursively producing the least squares (minimum of the sum of the absolute squared) of the error signal (difference between the… …   Wikipedia

• Wiener filter — In signal processing, the Wiener filter is a filter proposed by Norbert Wiener during the 1940s and published in 1949.ref|Wiener1949 Its purpose is to reduce the amount of noise present in a signal by comparison with an estimation of the desired… …   Wikipedia

• Hodrick-Prescott filter — The Hodrick Prescott filter is a mathematical tool used in macroeconomics, especially in real business cycle theory. It is used to obtain a smoothed non linear representation of a time series, one that is more sensitive to long term than to short …   Wikipedia

• Zakai equation — The Zakai equation is a linear recursive filtering equation for the un normalized density of a hidden state. In contrast, the Kushner equation gives a non linear recursive equation for the normalized density of the hidden state. See also *Kalman… …   Wikipedia

• Linear-quadratic-Gaussian control — In control theory, the linear quadratic Gaussian (LQG) control problem is one of the most fundamental optimal control problems. It concerns uncertain linear systems disturbed by additive white Gaussian noise, having incomplete state information… …   Wikipedia