C-D KF Algorithm

Analytic Solution

The C-D KF has an analytic solution:

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Algorithm

NOTE: Like the KF the C-D KF provides the LMSE (Least Mean Square Error) estimate $\hat{x}(t|t)$ of $x(t)$.

0. Initialization:
1. PREDICTION STEP:
2. CORRECTION STEP:
3. Iterate, restart from point (1.)

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~Example ‘Output of the C-D KF algorithm:‘: