Optimal Estimation of Dynamic Systems, 2nd Edition

4

Advanced Topics in Sequential State

Estimation

Normal people believe that if it ain’t broke, don’t fix it. Engineers be-

lieve that if it ain’t broke, it doesn’t have enough features yet.

—Adams, Scott

I

n this chapter we present some advanced topics used in sequential state estima-

tion that have been found relevant for modern applications. We selectively present

detailed formulations, however, as in previous chapters, we encourage the interested

reader to pursue these topics further in the references provided. These topics include

factorization methods, colored-noise Kalman filtering, consistency of the Kalman

filter, consider Kalman filtering, decentralized ...