OBC: Kalman Filtering
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Stochastic Systems | Kalman Filtering | Sensor Fusion |
In this chapter we derive the Kalman ﬁlter in continuous time (also referred to as the Kalman-Bucy ﬁlter).
- Chapter PDF (23 Feb 08; pretty rough)
Stochastic Systems | Kalman Filtering | Sensor Fusion |
In this chapter we derive the Kalman ﬁlter in continuous time (also referred to as the Kalman-Bucy ﬁlter).