A Novel and Simplest Derivation of Measurement Update Equations in the Kalman Filter (Version 2)
Sueo Sugimoto [ ID: sapt-1710-0001 ] We show the simplest derivation of the Kalman filter, especially, derive the so-called measurement updating equations, based on a few mathematical tools, such as the conditional Gaussian probability density function, completing the square, and the matrix inversion lemma.