How To Create Kalman Gain Derivation
Let y y click for more {\displaystyle \mathbf {y} -{\hat {\mathbf {y} }}} denote the output estimation error exhibited by a conventional Kalman filter. The denominator can be simplified with the propagation formula (Formula 37, Toussaint)Yay! We see, that the denominator is exactly the same as the canceled factor in the numerator. One standard deviation […]