A simple derivation of the Kalman filter

2026-09-02

AI Summary

本文通过简化的方法推导了离散时间卡尔曼滤波方程，仅需基本的最小二乘估计知识，减少了数学复杂性同时保持了严谨性和通用性。

Abstract

In this lecture note, we present a concise and self-contained derivation of the discrete-time Kalman filter equations that requires only a basic understanding of least squares estimation. The treatment is designed to minimize mathematical overhead while preserving both rigor and generality.

Problem

• Kalman filter
• least squares estimation
• discrete-time

Innovation

• Kalman filter
• least squares estimation
• discrete-time