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Understanding the Basis of the Kalman Filter Via a Simple and Intuitive Derivation [Lecture Notes]

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1 Author(s)
Ramsey Faragher ; BAE Systems Advanced Technology Centre, United Kingdom

This article provides a simple and intuitive derivation of the Kalman filter, with the aim of teaching this useful tool to students from disciplines that do not require a strong mathematical background. The most complicated level of mathematics required to understand this derivation is the ability to multiply two Gaussian functions together and reduce the result to a compact form.

Published in:

IEEE Signal Processing Magazine  (Volume:29 ,  Issue: 5 )