Classical Filtering Methods
摘要
In this chapter, we shall introduce several important filtering algorithms. In Sect. 9.2, we shall introduce the filtering algorithms based on the Bayesian framework, in which the system equation and observation equation can be consider as discrete functions. In Sect. 9.3, we shall introduce filtering algorithms based on DMZ equation, in which the system equation and observation equation can be considered as continuous functions. In Sect. 9.4, we shall introduce another filtering topic called robust filtering. In both sections, we shall start with the linear filtering problems and extend them for general nonlinear system.