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Kalman filter
(redirected from Kalman gain)

   Also found in: Wikipedia 0.01 sec.
Kalman filter [′kal·mən ‚fil·tər]
(control systems)
A linear system in which the mean squared error between the desired output and the actual output is minimized when the input is a random signal generated by white noise.


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P] are the Kalman gain and covariance matrices, respectively, for the extended state.
 
 
 
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