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Apr20-10, 02:05 PM
P: 16
Quote Quote by SW VandeCarr View Post
Not really. I was thinking of the discussion re the Kalman filter where the trace is minimized using the Kalman gain [tex]K_{k}[/tex] and setting:

[tex]\frac{\partial tr(P_{k|k})}{\partial K_{k}}= 0 [/tex]
Sorry, but I can't understand your last post (I don't get your "English". not minimizing the trace of covariance matrix to find the Kalman gain ...).

What I understand is that Kalman and MMSE are related (in fact, I think Kalman is the MMSE estimator for the case of Gaussian variables (or Linear MMSE estimator without the assumption of Gaussian variables), for associated linear state (process) and observation equations (models)).

Did you see the book?