Applied Optimal Estimation

Edited by Arthur Gelb

Introduction
This is an excellent introduction to optimal estimation and Kalman filtering that has become a classic in the field. Below you will find are a few notes and some problems from the book I had time to write up.

More information about this book can be found here.

• Chapter 2 (Underlying Mathematical Techniques)
  
• Chapter 3 (Linear Dynamic Systems)
  
• Chapter 4 (Optimal Linear Filtering)
  
• Chapter 5 (Optimal Linear Smoothing)
  
• Chapter 6 (Nonlinear Estimation)
  
• Chapter 7 (Suboptimal Filter Design and Sensitivity Analysis)