Recursive algorithms for linear LMSE estimators under uncertain observations
Xingde Wang · IEEE Transactions on Automatic Control · 1984
Hadidi and Schwartz [1] proposed a recursive linear estimator algorithm for linear discrete-time systems under uncertain observations when it exists. In this note two sets of formulas for the optimal filter and one-step predictor under uncertain observations, when they exist, are derived. These formulas differ, to some extent, from those proposed in [1].