inear Dynamical Systems (LDSs) and Kalman filters</h2>

A Linear Dynamical System (LDS) has the same topology as an HMM, but
all the nodes are assumed to have linear-Gaussian distributions, i.e.,
<pre>
   x(t+1) = A*x(t) + w(t),  w ~ N(0, Q),  x(0) ~ N(init_x, init_V)
   y(t)   = C*x(t) + v(t),  v ~ N(0, R)
</pre>
Some simple variants are shown below.
<p>
<center>
<table>
<tr>
<td><img src="Figures/ar1.gif">
<td><img src="Figures/sar.gif">
<td><img src="Figures/kf.gif">
<td><img src="Figures/skf.gif">
</tab