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6031统计简单数值题short

Kalman Gain Alone

题目

In a scalar measurement update y=x+εy=x+\varepsilon with εN(0,4)\varepsilon\sim N(0,4), the prior (predicted) state variance is P=12P^-=12. What fraction of the innovation is incorporated into the updated estimate, i.e. compute the Kalman gain KK.

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