The Kalman Filter is a mathematical algorithm used for estimating the state of a dynamic system from a series of incomplete and noisy measurements. It operates on the principle of recursive estimation, meaning it continuously updates the state estimate as new measurements become available. The filter assumes that both the process noise and measurement noise are normally distributed, allowing it to use Bayesian methods to combine prior knowledge with new data optimally.
The Kalman Filter consists of two main steps: prediction and update. In the prediction step, the filter uses the current state estimate to predict the future state, along with the associated uncertainty. In the update step, it adjusts the predicted state based on the new measurement, reducing the uncertainty. Mathematically, this can be expressed as:
where is the Kalman gain, is the measurement, and is the measurement matrix. The optimality of the Kalman Filter lies in its ability to minimize the mean squared error of the estimated states.
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