An algorithm for estimating a portion of the state vector

An algorithm is developed for estimating a portion of the state of a linear dynamical system. The dimension of the filter used in the estimation procedure may be considerably smaller than the dimension of a Kalman filter used to estimate the entire state vector. Thus, an on line computational advantage is achieved. The savings may be significant if the dimension of the segment of the state vector which is of interest is much smaller than the dimension of the entire state vector.