Lecture 10 - Recursive identification

Recommended reading: This document. Download This document.

Alternative reading: Chapter 9 (mainly 9.1-9.3) in "System Identification" by T. Söderström and P. Stoica.

Derivations related to the Kalman filter: Download. Download Download. (Some details about how to go between different formulations of the Kalman filter)

Slides:

Download. Download Download. (handout, 1 page per slide)

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