Lesson 22 State Estimation for the Not-so-basic State-variable Model


In deriving all our state estimators we worked with our basic state-variable model. In many practical applications we begin with a model that differs from the basic state-variable model. The purpose of this lesson is to explain how to use or modify our previous state estimators when there are:

1. Either nonzero-mean noise processes or known bias functions or both in the state or measurement equations; or

2. Correlated noise processes in the state and measurement equations; or

3. Colored disturbances or measurement noises; or

4. Some perfect measurements.

No new concepts are needed to handle items 1 and 2. A state augmentation procedure is needed to handle item 3. Colored ...

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