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Comparison of RLS,a Kalman Filter and an H Infinity state Estimator.

This program compares Recursive Least Squares (RLS) a Kalman Filter and an H Infinity State Estimator all for an autoregressive system (all-pole system). Shows that the H infinity method is best with a close run between RLS and the Kalman filter. The example shows a 3rd order all pole system. The option of additive noise is also given.

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