This week, I finally start talking about the Kalman filter! In particular, in Chapter 4, I present the classic filter formulations (discrete-time and continuous-time), while, in Chapter 5, I address some computational issues and show some tools to overcome them.
Material:
- Chapter 4: Kalman Filter
- Chapter 5: Computational Aspects of the Kalman Filter
- Computational Exercise #2
Previous post of this course:
- Week 1: Syllabus + Introduction
- Week 2: Linear Algebra + Linear Systems
- Week 3: Set + Probability + Random Variables
- Week 4: Random Variables + Random Vectors
- Week 5: Random Vectors + Stochastic Processes
- Week 6: Stochastic Processes + Parameter Estimation
- Week 7: Parameter Estimation + Kalman Filter