Revision #831 → #1331 · back to history
addedKalman filtering2eb2093dade3
addedOptimality under Gaussian noise04db43f9b475
addedBest linear estimator (MMSE)96d8e5d6847a
addedTruck position with GPS and dead reckoning3499f790b51e
addedKalman filter as recursive estimator2457beddc49e
addedUnderlying linear dynamic system modelad87a3c6db24
addedState transition equation4774600db9c3
addedObservation equation84c61b6f51a0
addedMutual independence of initial state and noiseab9b8dd83205
addedRecursive estimator (filter state notation)8b321568924e
addedPredict and update phasese33e8368b9dd
addedJoseph form of covariance update0df96f80e313
addedInvariants of the Kalman filter estimates951d7cc926dc
addedAutocovariance least-squares (ALS) estimation390623a51ab3
addedOptimal state estimation conditionsd97d054cfecb
addedWhiteness of innovation sequence2b2d04d5bccf
addedTruck on frictionless rails23f5e138087a
addedConvergence of gain matrices to asymptotic value818bc7542461
addedAsymptotic Kalman filter as LTI filterf3a6ab9110fb
addedDiscrete Riccati equation for asymptotic covarianceb1eae80c98e6
addedKalman filter as generalized least squares852977217e47
addedDerivation of posteriori covariance (Joseph form)9d8ad051966c
addedOptimal Kalman gain (MMSE)b13abafd9db7
addedSimplified posteriori covariance with optimal gainac3773119a74
addedSensitivity recursion under misspecified statistics2f3baf16caff
addedCholesky (square-root) factorization of covariance884c4aa4d00a
addedU-D decomposition formd308880cb07c
addedL·D·L^T square-root filter86ba028159d5
addedParallel (prefix-sum) Kalman filter complexity reduction81b37c12dd8c
addedMarkov conditional independence of true state935837fb3080
addedConditional independence of measurements40e1908d36a7
addedPredict and update as probability distributions44c93f0f4d41
addedKalman filter as generative model01f1ffd1f75a
addedMarginal likelihoodfbf30c29ab5b
addedRecursive log marginal likelihood update608dd8fc07aa
addedInformation filter (inverse covariance form)0dc8b1d0dd9a
addedInformation filter summation update for N measurements8eea1bcb3f19
addedOptimal fixed-lag smoother7315123c1fb4
addedOptimal fixed-interval smoother (Kalman smoothing)346e5708a9a0
addedRauch–Tung–Striebel smoothereb7436ce89c3
addedModified Bryson–Frazier smootherb789a66292f7
addedMinimum-variance smootherba91dc598053
addedCausal part equals minimum-variance Kalman filterd58a25155272
addedFrequency-weighted Kalman filterff4c0199427e
addedExtended Kalman filtere361d34ee5f7
addedUnscented Kalman filterae11a3faefe8
addedSigma points and weightsda91097abe50
addedUKF predict stepc62cdd61323d
addedUKF update stepbbd4e7d38e3a
addedDiscriminative Kalman filterf71d25a6e5f4
addedAdaptive Kalman filter94f5f0f56d7e
addedKalman–Bucy filterda847e4b46f7
addedCovariance differential equation is Riccati56636a533c65
addedHybrid Kalman filter model267145e9a458
addedHybrid filter predict step89a24590d209
addedHybrid filter update stepbea5942b9eef
addedSparse-signal recovery Kalman variant2ce72ef39c75
addedKalman filter as Gaussian process regression solverfb29059015c9