A note on the nature of optimality in the discrete Kalman filter

• 1 October 1970
• journal article
• Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
• Vol. 15  (5) , 603-604
• https://doi.org/10.1109/tac.1970.1099539

Abstract

Keywords

• KALMAN FILTER
• DISCRETE KALMAN
• OPTIMALITY IN THE DISCRETE
• MAIN DIAGONAL
• GAIN SEQUENCE
• ESTIMATION COVARIANCE