Xk=Fk*Xk-1+Wk

Yk=Hk*Xk-1+uk+Vk

where, Xk is the system state, Yk is the output, Wk and Vk are uncorrelated white noises sequences of zero-mean and covariance matrices, uk is the unknown vector to be estimated.

Is there any filter to estimate the system state Xk and the unknown vector uk simultaneously?

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