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I'm struggling with a problem that I just can't seem to get a grasp of. I'm supposed to calculate an estimate for state $x(k)$ at times $k=1,2,3$ from the state-space

$ \begin{align} x(k+1) &= A x(k) + B u(k) + w(k) \\ y_1(k) &= x(k) + v1_(k) \\ y_2(k) &= x(k-1) + v_2(k) \\ \end{align} $

where the covariances of the noises are given as

$E[w(k)w(k)']$ , $E[v_1(k)v_1(k)']$, $E[v_2(k)v_2(k)']$

and

$u(k)$ is given for $k=1,2,3$

$y_1(k)$ is given for $k=1,2,3$

$y_2(k)$ is given for $k=2,3$

What kind of technique am I supposed to use? Information Kalman filter?

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    $\begingroup$ you can rewrite the equations so they are in the canonical form. Play with some substations. Don’t be too literal about what is a state. I vaguely recall that this a problem from Kailath and Sayeed . Please be upfront about homework if this is the case. $\endgroup$
    – user28715
    Oct 6, 2017 at 15:44
  • $\begingroup$ This is indeed a homework problem, I am not asking for a solution, just a hint as to where to begin working on this problem. We've been studying linear estimation and Kalman Filter recently, but the problem does not seem to fit on anything. $\endgroup$
    – Yeviipew
    Oct 6, 2017 at 17:27
  • $\begingroup$ rewrite the state transition equations so that they are the standard form and then form the Kalman Filter. Do I need to actually say that this is a hint? Stack y1 over y2 so it’s a vector. Then think about an H matrix that makes sense. What would a state vector look like? $\endgroup$
    – user28715
    Oct 6, 2017 at 21:02

1 Answer 1

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HINT

$$ \left| \begin{array}{cc} A & 0 \\ 0 & 1 \end{array} \right| $$

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  • $\begingroup$ you asked for a hint, you got a hint, actually more than a hint. Ask your teacher. $\endgroup$
    – user28715
    Oct 7, 2017 at 13:48

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