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Optimal State Estimation [2006]

1
Linear systems theory
49
Probability theory
79
Least squares estimation
107
Propagation of states and covariances
121
The discrete‐time Kalman filter
149
Alternate Kalman filter formulations
183
Kalman filter generalizations
229
The continuous‐time Kalman filter
263
Optimal smoothing
297
Additional topics in Kalman filtering
331
THE H∞ FILTER
373
Additional topics in H∞ filtering
393
Nonlinear Kalman filtering
433
The unscented Kalman filter
461
The particle filter
485
Appendix A: Historical Perspectives
489
Appendix B: Other Books on Kalman Filtering
493
Appendix C: State Estimation and the Meaning of Life
501
References
521
Index
i
Frontmatter
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