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74) It must be noted that in this case, the system matrices in this depend on both the state and input of the system in each instant. Thus, it becomes necessary the calculation of these matrices in each iteration of the algorithm. 3 Kalman Filter for Parameters’ Estimation One of the applications of Kalman filter is the identification of parameters. Let us suppose that a function depends on q parameters p1 , p2 . . 75) y = f (x1 , x2 , . . , xn , p1 , p2 . . 76) The problem of identification of parameters can be explained as a problem of estimation of systems’ states.
