SW 04RLS and Kalman filters

[latexpage] \begin{equation} \boldsymbol{w}_{\mathrm{LS}}=\underbrace{\left(\mathcal{R}^T \mathcal{R}\right)^{-1} \mathcal{R}^T}_{\text{Moore-Pendrose inverse}} \mathcal{P} \end{equation} Matrix-inversion Lemma \begin{equation} (\boldsymbol{A}+\boldsymbol{B C} \boldsymbol{C})^{-1}=\boldsymbol{A}^{-1}-\boldsymbol{A}^{-1} \boldsymbol{B}\left(\boldsymbol{D} \boldsymbol{A}^{-1} \boldsymbol{B}+C^{-1}\right)^{-1} \boldsymbol{D} \boldsymbol{A}^{-1} \end{equation} $$ \begin{aligned} \boldsymbol{A} & \triangleq \mathcal{R}_{k-1} \\ \boldsymbol{B} & \triangleq…

Continue ReadingSW 04RLS and Kalman filters

End of content

No more pages to load