Here, we discuss the Kalman Filter, which is an optimal full-state estimator, given Gaussian white noise disturbances and measurement noise.

These lectures follow Chapters 1 & 3 from:

Machine learning control, by Duriez, Brunton, & Noack
[ Ссылка ]

Chapters available at: [ Ссылка ]

This video was produced at the University of Washington

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