Optimal Estimation of Dynamic Systems, 2nd Edition

Contents

Preface xiii

1 Least Squares Approximation 1

1.1 A Curve Fitting Example . . ..................... 2

1.2 LinearBatchEstimation ....................... 7

1.2.1 LinearLeastSquares..................... 9

1.2.2 WeightedLeastSquares ................... 14

1.2.3 ConstrainedLeastSquares.................. 16

1.3 LinearSequentialEstimation..................... 19

1.4 NonlinearLeastSquaresEstimation ................. 25

1.5 BasisFunctions............................ 35

1.6 AdvancedTopics ........................... 40

1.6.1 MatrixDecompositionsinLeastSquares .......... 40

1.6.2 KroneckerFactorizationandLeastSquares ......... 43

1.6.3 Levenberg-MarquardtM