Concerning an application of the method of least squares with a variable weight matrix

An estimate of a state vector for a physical system when the weight matrix in the method of least squares is a function of this vector is considered. An iterative procedure is proposed for calculating the desired estimate. Conditions for the existence and uniqueness of the limit of this procedure are obtained, and a domain is found which contains the limit estimate. A second method for calculating the desired estimate which reduces to the solution of a system of algebraic equations is proposed. The question of applying Newton's method of tangents to solving the given system of algebraic equations is considered and conditions for the convergence of the modified Newton's method are obtained. Certain properties of the estimate obtained are presented together with an example