State process estimator
Kalman filtering

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R1107 V1 Article

State process estimator


Kalman filtering

Author : Yves DELIGNON

Publication date: December 10, 2009 | Lire en français

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3. State process estimator

3.1 Recursive algorithm for calculating the a posteriori law

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3.1.1 General case

The calculation of the a posteriori law at iteration n is obtained by a recursive algorithm (figure 5 ) that takes advantage of the dynamic state model. It comprises two steps; the calculation of the law of state x n from past observations y 0 ...

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