August 10, 2014

Kalman Filter Kalman filter: a data fusion algorithm - best estimate of current state given: Prediction from last known state pdf (probability density function)

Measurement pdf of current state

Key property: product of gaussian functions is a gaussian This is the key to The elegant recursive property of kalman

Best estimate of state = combine knowledge from prediction & measurement = product of prediction & measurement pdfs

Example: Estimating position of an object in 1D

Smoothers: Provides optimal estimate of state

Xk¦n (k
Non linear filters: Extended Kalman filter and unscented Kalman filter

The Underlying model is a Bayesian model similar to hidden Markov model but where the state space of latent variables is continuous and where all latent & observed variables have Gaussian distribution.

Created by Nishanth Prakash. Available for free @ nishanthprakash.com

References: Lecture notes by Ramsey Faragher Lectures by Gilbert Strang Wikipedia.org

Kalman filter cheat sheet.pdf

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