Optimal Estimation

Optimal estimation is a method used to make the best possible guess about the true state of a system based on available measurements and prior knowledge. It combines uncertain or noisy data to produce an estimate that minimizes error, often by weighing the trustworthiness of measurements against prior information. Think of it like updating your guess when new information arrives, ensuring your estimate is as accurate as possible given the uncertainties involved. This approach is widely used in fields like navigation, weather forecasting, and control systems to improve decision-making under uncertainty.