A Novel and Simplest Derivation of Measurement Update Equations in the Kalman Filter (Version 3)

Sueo Sugimoto, Ritsumeikan University
[ ID: sapt-1904-0004 ]

We show the simplest derivation of the Kalman filter, especially, derive the so-called measurement update equation, base on the several easy mathematical concepts such as, conditional expectation, Gaussian conditional probability density function, completing the square, and the matrix inversion lemma. (Version 3, April 30, 2019)

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