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Gaussian quadrature is a powerful technique for numerical integration that falls under the broad category of spectral methods. Table of Contents: Introduction / Approximating with Polynomials and Related Functions / Gaussian Quadrature / Applications / Links to Mathematical Software
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The Kalman filter is the Bayesian optimum solution to the problem of sequentially estimating the states of a dynamical system in which the state evolution and measurement processes are both linear and Gaussian.