least_squares - and E vv T = R DeFne: W = R-1 Cost...

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EEL 6935 Electronic Navigation Systems Least Squares Summary Unweighted Least Squares Model: z = H x + v Noise statistics: E [ v ] = 0 and E ± vv T ² = σ 2 I Cost function: J LS x ) = ( z - H ˆ x ) T ( z - H ˆ x ) Solution: ˆ x = ( H T H ) - 1 H T z Error covariance: E h x - x ) (ˆ x - x ) T i = σ 2 ( H T H ) - 1 Weighted Least Squares Model: z = H x + v Noise statistics: E [ v ] =
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Unformatted text preview: and E vv T = R DeFne: W = R-1 Cost function: J WLS ( x ) = ( z-H x ) T W ( z-H x ) Solution: x = ( H T W H )-1 H T W z Error covariance: E h ( x-x ) ( x-x ) T i = ( H T W H )-1 1...
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