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24 | 24 | "As a brief introduction to SSMs, the general idea is that we define our system using two equations.<br> \n",
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25 | 25 | "The state equation [1] and the observation equation [2]. \n",
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26 | 26 | "$$\n",
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27 |
| - "x_{t+1} = A_{t}x_{t} + c_{t} + R_{t}\\epsilon_{t} \\quad [1]\n", |
| 27 | + "x_{t+1} = A_{t}x_{t} + c_{t} + R_{t}\\epsilon_{t} \\quad (1)\n", |
28 | 28 | "$$ \n",
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29 | 29 | "\n",
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30 | 30 | "$$\n",
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31 |
| - "y_{t} = Z_{t}x_{t} + d_{t} + \\eta_{t} \\quad [2]\n", |
| 31 | + "y_{t} = Z_{t}x_{t} + d_{t} + \\eta_{t} \\quad (2)\n", |
32 | 32 | "$$\n",
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33 | 33 | "\n",
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34 | 34 | "The process/state covariance is given by $\\epsilon_{t} \\sim N(0, Q_{t})$ where $Q_{t}$ is the process/state innovations and the observation/measurement covariance is given by $\\eta_{t} \\sim N(0, H_{t})$ where $H_{t}$ describes the uncertainty in the measurement device or measurement procedure. \n",
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63 | 63 | "The following equations define the process:\n",
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64 | 64 | "|Description|Equation|\n",
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65 | 65 | "| --- | --- |\n",
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66 |
| - "|Predict the next state vector| $\\hat{x}_{t+1\\|t} = A_{t}\\hat{x}_{t\\|t} \\quad [3]$ |\n", |
67 |
| - "|Predict the next state/process covariance| $P_{t+1\\|t} = A_{t}P_{t+1\\|t}A_{t}^{T} + Q \\quad [4]$ |\n", |
68 |
| - "|Compute Kalman Gain | $K_{t} = P_{t\\|t-1}Z^{T}(ZP_{t\\|t-1}Z^{T} + H_{t})^{-1} \\quad [5]$ |\n", |
69 |
| - "|Estimate current state vector| $\\hat{x}_{t\\|t} = \\hat{x}_{t\\|t-1} + K_{t}(y_{t} - Z\\hat{x}_{t\\|t-1}) \\quad [6]$ |\n", |
70 |
| - "|Estimate current state/process covariance| $P_{t\\|t} = (I - K_{t}Z_{t})P_{t\\|t-1}(I - K_{t}Z_{t})^{T} + K_{t}H_{t}K_{t}^{T} \\quad [7]$ |\n", |
| 66 | + "|Predict the next state vector| $\\hat{x}_{t+1\\|t} = A_{t}\\hat{x}_{t\\|t} \\quad (3)$ |\n", |
| 67 | + "|Predict the next state/process covariance| $P_{t+1\\|t} = A_{t}P_{t+1\\|t}A_{t}^{T} + Q \\quad (4)$ |\n", |
| 68 | + "|Compute Kalman Gain | $K_{t} = P_{t\\|t-1}Z^{T}(ZP_{t\\|t-1}Z^{T} + H_{t})^{-1} \\quad (5)$ |\n", |
| 69 | + "|Estimate current state vector| $\\hat{x}_{t\\|t} = \\hat{x}_{t\\|t-1} + K_{t}(y_{t} - Z\\hat{x}_{t\\|t-1}) \\quad (6)$ |\n", |
| 70 | + "|Estimate current state/process covariance| $P_{t\\|t} = (I - K_{t}Z_{t})P_{t\\|t-1}(I - K_{t}Z_{t})^{T} + K_{t}H_{t}K_{t}^{T} \\quad (7)$ |\n", |
71 | 71 | "\n",
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72 | 72 | ":::{note}\n",
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73 | 73 | "We wrote the equation for $P_{t\\|t}$ above using Joseph form, which is more numerically stable but also wordier. In different texts you may encounter this equation written in \"standard\" form.\n",
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