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Theoretically, a Kalman filter is an estimator for what is called the linear quadratic Gaussian ( LQG) problem, which is the problem of estimating the instantaneous “state” of a linear dynamic system perturbed by Gaussian white noise, by using measurements linearly related to the state, but corrupted by Gaussian white noise.

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Kalman Filtering

  • 工具书词条

  • 发表日期：

    2025年

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  • Mohinder S. Grewal

摘要

Theoretically, a Kalman filter is an estimator for what is called the linear quadratic Gaussian ( LQG) problem, which is the problem of estimating the instantaneous “state” of a linear dynamic system perturbed by Gaussian white noise, by using measurements linearly related to the state, but corrupted by Gaussian white noise.