Understanding the Basis of the Kalman Filter Via （理解卡尔曼滤波器的基础上通过）.pdf

[lecture NOTES] Ramsey Faragher Understanding the Basis of the Kalman Filter Via a Simple and Intuitive Derivation his article provides a simple understand the basis of the Kalman fil- the Kalman filter, in the interests of and intuitive derivation of ter via a simple and intuitive derivation. being concise, but instead aims to pro- the Kalman filter, with the vide tutors with a simple method of aim of teaching this useful RELEVANCE teaching the concepts of the Kalman fil- Ttool to students from disci- The Kalman filter [2] (and its variants ter to students who are not strong plines that do not require a strong such as the extended Kalman filter [3] mathematicians. The reader is expected mathematical background. The most and unscented Kalman filter [4]) is to be familiar with vector notation and complicated level of mathematics one of the most celebrated and popu- terminology associated with Kalman fil- required to understand this derivation is lar data fusion algorithms in the field tering such as the state vector and cova- the ability to multiply two Gaussian of information processing. The most riance matrix. This article is aimed at functions together and reduce the result famous early use of the Kalman filter those who need to teach the Kalman fil- to a compact form.