Browsing Mathematics (Faculty of) by Subject "Kalman filters"
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Sensor Choice for Minimum Error Variance Estimation
(Institute of Electrical and Electronics Engineers, 2017-06-12)A Kalman filter is optimal in that the variance of the error is minimized by the estimator. It is shown here, in an infinite-dimensional context, that the solution to an operator Riccati equation minimizes the steady-state ...