Description
Optimal Estimation & Filtering
Problem 1
Do problem 1.3 in your text.
Problem 2
Do problem 1.4 in your text.
Problem 3
Do problem 1.6 in your text.
Problem 4
Using the matrix inversion lemma, compute the inverse of the matrix P by hand.
P =
1 2 2
0 3 1
0 1 2
With MATLAB at your disposal, I know that computing the inverse of P is trivial. The
point here, however, is not simply computing the inverse of P. Rather, it is for you to
become comfortable with block matrices and the matrix inversion lemma. So, try expressing
P as sum/product of four matrices A, B, C and D such that the matrix inversion lemma
can be used to do the calculations easily by hand.
Problem 5
Do problem 3.13 in your text. Be sure to show your the form of your measurement matrix
H for each of the different models.
