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:
Signal Processing Magazine, IEEE
(Volume:29
,
Issue:
5
)
Date of Publication: Sept. 2012