120

where V is a scalar selected by experience with real and simulated data to give the filter its desired fading memory characteristics.

Suppose that x(tk) and P(tk) are known and that propagation to tk+l is desired. Then, xk(tk+l) is calculated using Eq. (13-86); that is,

where, in this case, &t=tk+l- tk. Pk(tk+l) is then calculated using Eq. (13-88):

Pkih)

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