We establish the equivalence between the optimal least-squares state estimator for a linear time-invariant dynamic system with noise corrupted input and output, and an appropriately modified Kalman filter. The approach used is algebraic and the result shows that the noisy input/output filtering problem is not fundamentally different from the classical Kalman filtering problem. The result is ill...

extended kalman filtering (ekf) is a nonlinear dynamic data reconciliation (nddr) method. one of its main advantages is its suitability for on-line applications. this paper presents an on-line nddr method using ekf. it is implemented for two case studies, temperature measurements of a distillation column and concentration measurements of a cstr. in each time step, random numbers with zero mean ...