Code and Results for Chapter 4 (Optimal Linear Filtering)

• example_4_2_3.nb (derive the Kalman gain for the radio signal tracking example)
  
• chap_4_prob_11.nb (performs the algebraic manipulations need to solve the Riccati equation)
  
• chap_4_prob_12.nb (performs the matrix multiplications in the Riccati equation)
  
• chap_4_prob_16.nb (a few iterates of the matrix Riccati equation)
  
• chap_4_prob_17.nb (iterates the matrix Riccati equation)
  
• chap_4_prob_27.m (the discrete Kalman filter)
  
• chap_4_prob_24.py (the required Kalman iterates)
  
• chap_4_prob_28.nb (an attempt at finding the steady state solution to the matrix Riccati equation)