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, base on the several easy mathematical concepts such as, conditional expectation, Gaussian conditional probability density function, completing the square, and the matrix inversion lemma.