Optimal State Estimation

Reference: Simon, Dan. Optimal state estimation: Kalman, H infinity, and nonlinear approaches. John Wiley & Sons, 2006.

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Exercise Solutions

Chapter 01 Linear Systems Theory

Chapter 02 Probability Theory

Chapter 03 Least squares estimation

Chapter 04 Propagation of states and covariances

Chapter 05 The discrete time Kalman filter

Chapter 06 Alternate Kalman filter formulations

Chapter 07 Kalman filter generalizations

Chapter 13 Nonlinear Kalman filtering