Deterministic least squares !ltering
نویسنده
چکیده
A deterministic interpretation of the Kalman !ltering formulas is given, using the principle of least squares estimation. The observed signal and the to-be-estimated signal are modeled as being generated as outputs of a !nite-dimensional linear system driven by an input disturbance. Postulating that the observed signal is generated by the input disturbance that has minimal least squares norm leads to a method of computing an estimate of the to-be-estimated output. The derivation of the resulting !lter is carried out in a completely self-contained way. The analogous approach to least squares control is also discussed. c © 2003 Elsevier B.V. All rights reserved.
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