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Oct 5, 2021 at 7:08 comment added SoftSail In link, the optimality of the Kalman innovation gain is interpreted in the sense that it minimizes the trace of the a posteriori estimate covariance matrix
Oct 4, 2021 at 16:30 comment added TimWescott It's a known thing that if the optimality criterion is to minimize the MSE error, then the Kalman filter is the best linear filter, for measurement and process noise that are zero-mean but otherwise any probability distribution. With emphasis on the MSE and linear -- there are some PDFs (i.e., strongly bimodal) where the least-MSE error may be the worst possible estimate in real life (e.g., the optimal path if you're driving straight toward an obstacle is either the left or right -- if you split the difference you'll be sorry).
Oct 4, 2021 at 16:26 comment added TimWescott Now I want to know where I can find out what they mean by "smallest" in terms of matrix theory.
Oct 4, 2021 at 15:11 history answered Peter K. CC BY-SA 4.0