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  • In this case, this Kalman filter approach is particularly useful since the filtering can be done with measurement updates and time updates, {tilde over (f)}(k+1)=A(I???L(k)C){circumflex over (f)}(k)+AL(k)??(k) L(k)={circumflex over (P)}(k)C H(C{circumflex over (P)}(k)C H +R)???1 {circumflex over (P)}(k)=A(I???L(k)C){circumflex over (P)}(k)A H +Q {tilde over (h)}(k)=C{circumflex over (f)}(k) where
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