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Consider the following discrete time system Xk-1 25x zk = + nk 20 where v and n are independent zero mean Gaussian white noises with
Consider the following discrete time system Xk-1 25x zk = + nk 20 where v and n are independent zero mean Gaussian white noises with variances Q= 10 and R = 1, respectively. This example has been used as a benchmark problem in many publications (please refer to [1] and the reference therein). Task Assumingxo N(0,1), use the Monte Carlo method to estimate the pdfs px), p(xso) and p(x100). Explain why it would be problematic to use the traditional Kalman filter to estimate the unknown state given the measurement data zk Consider the following discrete time system Xk-1 25x zk = + nk 20 where v and n are independent zero mean Gaussian white noises with variances Q= 10 and R = 1, respectively. This example has been used as a benchmark problem in many publications (please refer to [1] and the reference therein). Task Assumingxo N(0,1), use the Monte Carlo method to estimate the pdfs px), p(xso) and p(x100). Explain why it would be problematic to use the traditional Kalman filter to estimate the unknown state given the measurement data zk
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