Lecture4 PDF

Filtering and Identification
Lecture 4:
Kalman Filtering
Michel Verhaegen and Jan-Willem van Wingerden

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Delft Center for Systems and Control

Delft University of Technology
An illustrative Exercise
Given: x = x0 + Sν (ν ∼ (0, I)) and y = F x + Lǫ (ǫ ∼ (0, I)) with
E[(x − x0 )ǫT ] = Γ.
Determine: Unbiased minimum variance estimate of x! Solution:
Step 1: Estimator: x̃ = linear transformation of the “known” data?
 
h i x0
x̃ = M N  
y
Step 2: Unbiased E[x̃ − x] = 0.
M x0 + N F x0 − x0 = 0 ⇒ (M + N F − I) = 0
Step 3: Covariance matrix E[(x̃ − x)(x̃ − x)T ].

Let us first em minimize the Covariance matrix E[(x̃−x0 )(x̃−x0 )T ]
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E[(x − x0 )ǫT ] = Γ.
 
h i x0
x̃ = M N  
y
Step 2: Unbiased E[x̃ − x] = 0.
M x0 + N F x0 − x0 = 0 ⇒ (M + N F − I) = 0
Step 3: Covariance matrix E[(x̃ − x)(x̃ − x)T ].

Let us first em minimize the Covariance matrix E[(x̃−x0 )(x̃−x0 )T ]
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E[(x − x0 )ǫT ] = Γ.
 
h i x0
x̃ = M N  
y
   
h i I −Sν
Step 2: Unbiased E[x̃ − x] = 0: x̃ − x = M N  x +   −x
F Lǫ
 
h i I
E[x̃ − x] = M N   x0 − x0 ⇒ M + N F − I = 0
F
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E[(x − x0 )ǫT ] = Γ.
Step 3: Wrong!
Minimize the Covariance matrix E[(x̃ − x0 )(x̃ − x0 )T ]
x̃ = (M + N F ) x − M |{z}
Sν +N Lǫ (M + N F − I = 0
| {z }
=
=
=
=
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E[(x − x0 )ǫT ] = Γ.
Step 3: Wrong!
x̃ = (M + N F ) x − M |{z}
Sν +N Lǫ (M + N F − I = 0
| {z }
= Ix + (N F − I)(x − x0 ) + N Lǫ
=
=
=
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E[(x − x0 )ǫT ] = Γ.
Step 3: Wrong!
x̃ = (M + N F ) x − M |{z}
Sν +N Lǫ (M + N F − I = 0
| {z }
= Ix + (N F − I)(x − x0 ) + N Lǫ
x̃ − x0 = I(x − x0 ) + (N F − I)(x − x0 ) + N Lǫ
=
=
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E[(x − x0 )ǫT ] = Γ.
Step 3: Wrong!
x̃ = (M + N F ) x − M |{z}
Sν +N Lǫ (M + N F − I = 0
| {z }
= Ix + (N F − I)(x − x0 ) + N Lǫ
x̃ − x0 = I(x − x0 ) + (N F − I)(x − x0 ) + N Lǫ
= N F (x − x0 ) + N Lǫ
=
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E[(x − x0 )ǫT ] = Γ.
Step 3: Wrong!
x̃ = (M + N F ) x − M |{z}
Sν +N Lǫ (M + N F − I = 0
| {z }
= Ix + (N F − I)(x − x0 ) + N Lǫ
x̃ − x0 = I(x − x0 ) + (N F − I)(x − x0 ) + N Lǫ
= N F (x − x0 ) + N Lǫ
E[(x̃ − x0 )(x̃ − x0 )T ]=N F P F T N T + N LLT N T + N F ΓLT N T + N LΓT F T N T
⇒ N = 0 ⇒ M = I ⇒ x̃ = x0
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E[(x − x0 )ǫT ] = Γ.
Step 3: Minimize the Covariance matrix E[(x̃ − x)(x̃ − x)T ]
x̃ = Ix + (N F − I)(x − x0 ) + N Lǫ
x̃ − x = (N F − I)(x − x0 ) + N Lǫ
E[(x̃ − x)(x̃ − x)T ] = (N F − I)P (N F − I)T + N LLT N T +
(N F − I)ΓLT N T + N LΓT (N F − I)T
= (N F P F T N T + P − N F P − P F T N T ) + (N LLT N T
+(N F ΓLT N T − ΓLT N T ) + (N LΓT F T N T − N LΓT
= P − N (F P + LΓT ) − (P F T + ΓLT )N T +
N (F P F T + LLT + F ΓLT + LΓT F T )N T
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Overview
• The 3-key problems in sc4040
• Review: State observer
• The Stochastic Least Squares Problem
• The Conventional Kalman filter (SLS
framework)
• Properties and Use of the conventional
Kalman filter.
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The 3-key problems in sc4040
• Estimate linear static models from data:
min ky − F xk2W
x
Relevant and to introduce the numerical fundaments of this course!
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min ky − F xk2W
x

• Estimate the state of an LTI state space model:
x(k + 1) = Ax(k) + Bu(k) + Ke(k) e(k) ∼ (0, Re )

y(k) = Cx(k) + Du(k) + e(k)
given the model (A, B, C, D) and K and input-output data.
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min ky − F xk2W
x

• Estimate the state of an LTI state space model:
x(k + 1) = Ax(k) + Bu(k) + Ke(k) e(k) ∼ (0, Re )

y(k) = Cx(k) + Du(k) + e(k)
given the model (A, B, C, D) and K and input-output data.

• “Identify” state space model matrices (A, B, C, D, K) from
input-output data {u(k), y(k)}N
k=1 .
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Overview
framework)
Kalman filter.
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The asymptotic observer
Given the (Plant) model Σ:
Σ : x(k + 1) = Ax(k) + Bu(k)

y(k) = Cx(k) + Du(k)
with x(k) ∈ Rn , y(k) ∈ Rℓ , u(k) ∈ Rm

For the case x(0) unknown, we seek a
’state-observer’ of the form,
b(k + 1) = Ab
x x(k) + Bu(k) + K y(k) − Cb
x(k) − Du(k)
| {z } | {z }
Predictor
Corrector
such that lim x(k) − x
b(k) = 0
k→∞
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Σ : x(k + 1) = Ax(k) + Bu(k)


b(k + 1) = Ab
x x(k) + Bu(k) + K y(k) − Cb
x(k) − Du(k)
| {z } | {z }
Predictor
Corrector
b(k) = 0
k→∞
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Σ : x(k + 1) = Ax(k) + Bu(k)


b(k + 1) = Ab
x x(k) + Bu(k) + K y(k) − Cb
x(k) − Du(k)
| {z } | {z }
Predictor
Corrector
b(k) = 0
k→∞
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Given the dynamics of the system and observer
state,
x(k + 1) = Ax(k) + Bu(k)

x
b(k + 1) = x(k) + Bu(k) + K y(k) − C x
Ab b(k) − Du(k)

= x(k) + Bu(k) + K Cx(k) + Du(k) − C x
Ab b(k) − Du(k)

= Ab
x(k) + Bu(k) + KC x(k) − xb(k)
The dynamics of the state error, xe (k) = x(k) − x

b(k), satisfies,
xe (k + 1) = (A − KC)xe (k)
the goal is to design K, such that:
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Given the dynamics of the system and observer
state,
x(k + 1) = Ax(k) + Bu(k)

x
b(k + 1) = x(k) + Bu(k) + K y(k) − C x
Ab b(k) − Du(k)

= x(k) + Bu(k) + K Cx(k) + Du(k) − C x
Ab b(k) − Du(k)

= Ab
x(k) + Bu(k) + KC x(k) − xb(k)
The dynamics of the state error, xe (k) = x(k) − x

b(k), satisfies,
xe (k + 1) = (A − KC)xe (k)
the goal is to design K, such that:

(A − KC) is asymptotically stable
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Design of the asymptotic observer
Recall the observer structure,

b(k+1) = (A−KC)b
x x(k)+Bu(k)+K y(k)−Du(k)
Theorem: If the pair (A, C) is observable, then

there exists a matrix K ∈ Rn×ℓ such that A − KC
is asymptotically stable. Design in matlab: Given the pair
(A, C) and a desired spectrum Sp (spectrum) of the poles of the
matrix A − KC then we can determine (in matlab) the gain
matrix K by,
K = place(A’,C’,Sp)’;
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Acker_test.m
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Example: Double tank
Linearized discrete-time
state-space model:
 
0.9512 0 x1
x(k + 1) =   x(k)
0.0476 0.9512
  Pump
0.0975
+   u(k)
0.0024 x2
h i
y(k) = 0 1 x(k)
Determine levels in both tanks: estimate states.

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Example: asymptotic observer
Selecting the eigenvalues of the asymptotic
observer equal to {0.7, 0.8} with initial state
vector [1.5, 1.5]T yields,
Asymptotic Observer - x1
3
Estimated
2 True
0
0 10 20 30 40 50 60
2
Estimated
True
1.5
0.5
0
0 10 20 30 40 50 60
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Example: Double tank with noise
Signal generating model:
 
0.0975 0
x(k + 1) = Ax(k) + Bu(k) +   w(k)
0.0024 0.0975
h i
y(k) = 0 1 x(k) + v(k)
with w(k) and v(k) zero-mean white noise with,

 
  0.0125 0 0.005
v(k) h i  
E  v(j)T w(j)T =
 0 0.01 0  ∆(k−j)

w(k)
0.005 0 0.01
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Example: asymptotic observer
Selecting the eigenvalues of the asymptotic
observer equal to {0.7, 0.8} with initial state
vector [1.5, 1.5]T yields,
3
Estimated
2 True
0
0 10 20 30 40 50 60
2.5
Estimated
2 True
1.5
0.5
0
0 10 20 30 40 50 60
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Overview
framework)
Kalman filter.
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The SLS Problem
Given the prior on the RV x ∼ (x, P ) with P ≥ 0 and given
the observations:
y = F x + Lǫ ǫ ∼ (0, I) E[(x − x)ǫT ] = 0
with F, L deterministic L full rank. Then seek among the

linear estimators:
 
h i y
e= M N  
x
x
The unbiased minimum variance estimate, i.e.:

E[(x − x e)T ]
e)(x − x x] = x
is minimized E[e
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Overview
• Key Notation
framework)
Kalman filter.
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Notation
For k the current time
instant: The estimate of
y(k + 1) x(k + 1) given past measurements
.., y(k − 1), y(k) is called
the one-step
predicted
estimate ỹ(k + 1|k) x̃(k + 1|k) .
The estimate of x(k) given past measurements

.., y(k − 1), y(k) to estimate x(k) is called the
filtered estimate x̃(k|k).
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Overview
• Key Notation
framework)
Kalman filter.
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The signal generating (SGM) model
The signal generating model (SGM) is governed (a) by the state
space model:
x(k + 1) = A(k)x(k) + B(k)u(k) + w(k)

y(k) = C(k)x(k) + v(k)
     
v(k) 0 R(k) S(k)T
  ∼  ,  ≥ 0 & white R(k) > 0
w(k) 0 S(k) Q(k)
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The signal generating (SGM) model
The signal generating model (SGM) is governed (a) by the state
space model:
x(k + 1) = A(k)x(k) + B(k)u(k) + w(k)

y(k) = C(k)x(k) + v(k)
     
v(k) 0 R(k) S(k)T
  ∼  ,  ≥ 0 & white R(k) > 0
w(k) 0 S(k) Q(k)
and (b) at time k − 1 an estimate of x(k) is given such that:

1. x(k) ∼ (x̂(k|k − 1), P (k|k − 1) ≥ 0) and,
T
T T
2. E[ x(k) − x̂(k|k − 1) v (k) w (k) ] = 0
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The Kalman Filter Problem
Let for the SGM at time instant k the measurements
u(k), y(k) become available, then we seek a filtered and
one-step predicted estimate of x(k) and x(k + 1) of the
form,
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The Kalman Filter Problem
Let for the SGM at time instant k the measurements
u(k), y(k) become available, then we seek a filtered and
one-step predicted estimate of x(k) and x(k + 1) of the
form,
   
x̂(k|k) y(k)
 =M  + N x̂(k|k − 1)
x̂(k + 1|k) −B(k)u(k)
such that both estimates are minimum variance unbiased

estimates, i.e. estimates with the following properties,
E[x̂(k|k)] = E[x(k)] E[x̂(k + 1|k)] = E[x(k + 1)]
h T i h T i
E x(k)−b
x(k|k) x(k)−b
x(k|k) and E x(k+1)−b
x(k+1|k) x(k+1)−b
x(k+1|k)
are minimal.
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Putting the dynamic model in the y = F x + Lǫ-format
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The collected data u(k), y(k) define the following DATA EQUATION:
      
y(k) C(k) 0 x(k) v(k)
 =  +  
−B(k)u(k) A(k) −I x(k + 1) w(k)
| {z } | {z }| {z } | {z }
y F x L(k)ǫ ǫ∼(0,I)
Combining this with our linear estimate of x(k) and x(k + 1),
   
x̂(k|k) y(k)
 =M  + N x̂(k|k − 1)
x̂(k + 1|k) −B(k)u(k)
yields,
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The collected data u(k), y(k) define the following DATA EQUATION:
      
y(k) C(k) 0 x(k) v(k)
 =  +  
−B(k)u(k) A(k) −I x(k + 1) w(k)
| {z } | {z }| {z } | {z }
y F x L(k)ǫ ǫ∼(0,I)
Combining this with our linear estimate of x(k) and x(k + 1),
      
x̂(k|k) M M12 y(k) N
  =  11   +  1  x̂(k|k − 1)
x̂(k + 1|k) M21 M22 −B(k)u(k) N2
yields,
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Sketch of the proof (step 1)
1. Unbiased estimation property: Using the y = F x + Lǫ-format,
    
x̂(k|k) M C(k) + M12 A(k) −M12 x(k)
  =  11  
x̂(k + 1|k) M21 C(k) + M22 A(k) −M22 x(k + 1)
    
M11 M12 v(k) N1
+     +   x̂(k|k − 1)
M21 M22 w(k) N2
Taking the mean, and using notation E[x(k)] = xk , C(k) = C, etc.

      
x M C + M12 A −M12 x N
 k  =  11   k  +  1  xk
xk+1 M21 C + M22 A −M22 xk+1 N2
  
I − M11 C − M12 A − N1 M12 xk
⇔    =0
−M21 C − M22 A − N2 I + M22 xk+1
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Conclusion from the Unbiasedness Condition (step 1)
" #" #
I − M11 C − M12 A − N1 M12 xk
⇔ =0
−M21 C − M22 A − N2 I + M22 xk+1
1. M12 = 0
2. I − M11 C − N1 = 0 ⇒ N1 = I − M11 C
3. M22 = −I
4. −M21 C + A − N2 = 0 ⇒ N2 = A − M21 C
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Sketch of the proof (step 2)
2. Expression for Covariance matrices to be minimized:
   
x(k) − x̂(k|k) I − M11 C(k)
 =  x(k)−x̂(k|k−1)
x(k + 1) − x̂(k + 1|k) A(k) − M21 C(k)
  
M11 0 v(k)
−  
M21 −I w(k)

Since ǫ and x(k) − x̂(k|k − 1) are uncorrelated,
  T
x(k) − x̂(k|k) x(k) − x̂(k|k)
E[   ]=
x(k + 1) − x̂(k + 1|k) x(k + 1) − x̂(k + 1|k)
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Sketch of the proof (step 2, Ct’d)
   T
I − M11 C(k) I − M11 C(k)
  P (k|k − 1)  
A(k) − M21 C(k) A(k) − M21 C(k)
   
M11 0 R(k) S(k)T T
M11 M21T
+   
M21 −I S(k) Q(k) 0 −I
Therefore, the covariance matrix to be minimized for the
measurement update is,
h i
T
E (x(k) − x̂(k|k))(x(k) − x̂(k|k)) =
T
I − M11 C(k) P (k|k − 1) I − M11 C(k)
+M11 RM11 T
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Sketch of the proof (step 3, Ct’d)
3.Minimizing the covariance matrix w.r.t. M11 (M12 ) by an
application of the C.O.S. argument. This yields,
−1
M11 = P (k|k − 1)C(k)T C(k)P (k|k − 1)C(k)T + R(k)

M21 = A(k)P (k|k − 1)C(k)T + S(k)
−1
× C(k)P (k|k − 1)C(k)T + R(k)
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The conventional KF
Theorem: Let the conditions of KF problem hold, then the minimum
variance unbiased estimate for x(k + 1) is given as x̂(k + 1|k) =,
−1
= A(k)P (k|k − 1)C(k)T + S(k) C(k)P (k|k − 1)C(k)T + R(k) y(k)+
| {z }
K(k)

B(k)u(k)+ A(k) − K(k)C(k) x̂(k|k − 1)
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The conventional KF
Theorem: Let the conditions of KF problem hold, then the minimum
variance unbiased estimate for x(k + 1) is given as x̂(k + 1|k) =,
−1
= A(k)P (k|k − 1)C(k)T + S(k) C(k)P (k|k − 1)C(k)T + R(k) y(k)+
| {z }
K(k)

B(k)u(k)+ A(k) − K(k)C(k) x̂(k|k − 1)
h
& has covariance matrix E x(k + 1) − x
b(k + 1|k) x(k + 1) − x
b(k + 1|k)
P (k + 1|k) = A(k)P (k|k − 1)A(k)T + Q(k)

−1 T
− A(k)P (k|k−1)C(k)T +S(k) C(k)P (k|k−1)C(k)T +R(k) •
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Summary: The conventional KF for LTI systems
K(k) = (AP (k|k − 1)C T + S)(CP (k|k − 1)C T + R)−1

x̂(k + 1|k) = K(k)y(k) + Bu(k) + (A − K(k)C)x̂(k|k − 1)
P (k + 1|k) = AP (k|k − 1)AT + Q − K(k)(AP (k|k − 1)C T + S)T
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Recall the Asymptotic Observer structure:
x̂(k + 1) = Ky(k) + Bu(k) + (A − KC)x̂(k)
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x̂(k + 1) = Ky(k) + Bu(k) + (A − KC)x̂(k)
Observations: (1) Optimal Linear estimator (Kalman filter - KF)

has asymptotic observer structure!,
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x̂(k + 1) = Ky(k) + Bu(k) + (A − KC)x̂(k)

has asymptotic observer structure!, (2) KF is time-varying even
if SGM is LTI.
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x̂(k + 1) = Ky(k) + Bu(k) + (A − KC)x̂(k)

has asymptotic observer structure!, (2) KF is time-varying even
if SGM is LTI. (3) Is (A − K(k)C) asym. stable?
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Overview
• Recall: Case study AO - new TUD approach
framework)
Kalman filter.
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Properties and Use of the conventional KF
1. (Optimality?) - comparison KF with

asymptotic observer - double tank
example.
2. Asymptotic stability (A − K(k)C)?
3. Checking optimality from data?
4. Innovation form representation of SGM
5. Estimating a constant?
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Comp_Obs_SRCF1.m and
Comp_Obs_SRCF2.m
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asymptotic observer - double tank example.
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The Asym. Stability of the stationary Kalman filter
Theorem: Consider the time-invariant signal generating

model and statistical data. If the pair (A, C) is observable
and the pair (A, Q1/2 ) is controllable, then the covariance
matrix of UMV estimate, i.e. P (k|k − 1), satisfies
lim P (k|k − 1) = P > 0, for any symmetric initial condition
k→∞
P (0| − 1) > 0, where P satisfies
P = AP AT +Q−(S+AP C T )(CP C T +R)−1 (S+AP C T )T (DARE).
If this matrix P is used to define the Kalman gain matrix K

as K = (S + AP C T )(CP C T + R)−1 then the matrix A − KC
is asymptotically stable.
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Checking optimality from data?
The state update of the stationary KF is given by:
x̂(k + 1|k) = Ky(k) + Bu(k) + (A − KC)x̂(k|k − 1)
This can also be written in the predictor/corrector form:

x̂(k + 1|k) = Ax̂(k|k − 1) + Bu(k) + K y(k) − C x̂(k|k − 1)

The quantity between is called the “innovation signal”,
with properties:
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Checking optimality from data?
The state update of the stationary KF is given by:
x̂(k + 1|k) = Ky(k) + Bu(k) + (A − KC)x̂(k|k − 1)
This can also be written in the predictor/corrector form:


The quantity between is called the “innovation signal”,
with properties:

• e(k) = y(k) − C x̂(k|k − 1) becomes a zero-mean,
white noise sequence with minimum variance.
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Comp_Obs_SRCF3.m
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Innovation form representation of SGM
Recall the SGM:
x(k + 1) = Ax(k) + Bu(k) + w(k) E[w(k)] = 0, etc.
y(k) = Cx(k) + v(k)
And the stationary KF:

y(k) = C x̂(k|k − 1) + e(k)
With e(k) the innovation signal.
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Innovation form representation of SGM
Recall the SGM:
x(k + 1) = Ax(k) + Bu(k) + w(k) E[w(k)] = 0, etc.
y(k) = Cx(k) + v(k)
And the stationary KF:

y(k) = C x̂(k|k − 1) + e(k)
With e(k) the innovation signal. This allows to re-write the KF as:
x̂(k + 1|k) = Ax̂(k|k − 1) + Bu(k) + Ke(k)
y(k) = C x̂(k|k − 1) + e(k)
This is the innovation form
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Example: Estimating a constant
Consider estimation of the ’almost’ constant
temperature x(k).
x(k + 1) = x(k) + w(k)
y(k) = x(k) + v(k)
If we assume that S ≡ 0 and Q 6= 0, then the
DARE reads:
P = P + Q − P (P + R)−1 P, P ∈R
or equivalently: P 2 − QP − QR = 0.
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The equation P 2 − QP − QR = 0 has two
solutions:
p
Q + Q 2 + 4QR
P+ =
p 2
Q − Q 2 + 4QR
P− =
2
The value P + (the maximal root) is strictly
smaller then R provided that R > 2Q.
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For P + , the stationary Kalman filter has update
equation:
+
P P+
b(k+1|k) = 1 − +
x b(k|k−1)+ +
x y(k)
P +R P +R
which is a stable filter since
P+
0<1− + <1
P +R
If we take the negative root P − (minimal), the
stationary Kalman filter is anti-stable.
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Preparation and next lecture
Preparation:
Study Chapter 5 (5.1-5.4 and 5.5.5 and 5.7-5.9)
Download Homework 3
Next lecture:
Lecture 5: Subspace Identification
Wednesday December 7, 2016, 15.30-17.30
Keep your eyes focussed on “Guide-

lines/Rules/Schedule sc4040: 2016-
2017” for the correct deadlines!
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Filtering and Identification

Michel Verhaegen and Jan-Willem van Wingerden

Delft Center for Systems and Control

Step 2: Unbiased E[x̃ − x] = 0.

Step 3: Covariance matrix E[(x̃ − x)(x̃ − x)T ].

Delft Center for Systems and Control

Step 2: Unbiased E[x̃ − x] = 0.

Step 3: Covariance matrix E[(x̃ − x)(x̃ − x)T ].

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Relevant and to introduce the numerical fundaments of this course!

Delft Center for Systems and Control

Relevant and to introduce the numerical fundaments of this course!

x(k + 1) = Ax(k) + Bu(k) + Ke(k) e(k) ∼ (0, Re )

given the model (A, B, C, D) and K and input-output data.

Delft Center for Systems and Control

Relevant and to introduce the numerical fundaments of this course!

x(k + 1) = Ax(k) + Bu(k) + Ke(k) e(k) ∼ (0, Re )

given the model (A, B, C, D) and K and input-output data.

Delft Center for Systems and Control

Delft Center for Systems and Control

Σ : x(k + 1) = Ax(k) + Bu(k)

with x(k) ∈ Rn , y(k) ∈ Rℓ , u(k) ∈ Rm

Delft Center for Systems and Control

Σ : x(k + 1) = Ax(k) + Bu(k)

with x(k) ∈ Rn , y(k) ∈ Rℓ , u(k) ∈ Rm

Delft Center for Systems and Control

Σ : x(k + 1) = Ax(k) + Bu(k)

with x(k) ∈ Rn , y(k) ∈ Rℓ , u(k) ∈ Rm

Delft Center for Systems and Control

The dynamics of the state error, xe (k) = x(k) − x

the goal is to design K, such that:

Delft Center for Systems and Control

The dynamics of the state error, xe (k) = x(k) − x

the goal is to design K, such that:

Delft Center for Systems and Control

Theorem: If the pair (A, C) is observable, then

Delft Center for Systems and Control

Delft Center for Systems and Control

Determine levels in both tanks: estimate states.

Delft Center for Systems and Control

Delft Center for Systems and Control

with w(k) and v(k) zero-mean white noise with,

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

with F, L deterministic L full rank. Then seek among the

The unbiased minimum variance estimate, i.e.:

Delft Center for Systems and Control

Delft Center for Systems and Control

The estimate of x(k) given past measurements

Delft Center for Systems and Control

Delft Center for Systems and Control

x(k + 1) = A(k)x(k) + B(k)u(k) + w(k)

Delft Center for Systems and Control

x(k + 1) = A(k)x(k) + B(k)u(k) + w(k)