Hitit0J R

In general X*(i0) would be chosen so that X0 = 0, and P0 would reffect the relative accuracy of the elements of the initial condition vector X*(i0). In theory X0 and P0 represent information and should be treated as data that are merged with the observation data, as indicated by Eq. (4.6.1). Consequently, the value of XQ + X0 should be held constant for the beginning of each iteration. Since the initial condition vector XQ is augmented by the value of X0 after each iteration, that is, (XQ)n = (XQ)n-1 + (X0)n, holding XQ + X0 constant results in the following expression for (X0)n

Recall from Section 4.2 that the state transition matrix is obtained by integrating

0 0

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