Kalman Filter

1. Discuss several useful matrix identities. 2. Derive Kalman filter algorithms. 3. Discuss alternate form (Alternate Gain Expression) of the Kalman filter.

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Create Date July 23, 2019
Last Updated August 7, 2019
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How-To article discussing matrix identities, deriving Kalman filter algorithms, and discusses alternate form (Alternate Gain Expression) of the Kalman filter.

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