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Yes! If you put the process covariance aside, then Kalman filtering really just is a linear least squares problem solved incrementally, using Woodbury formula t
by chombier 10y ago
Yes! If you put the process covariance aside, then Kalman filtering really just is a linear least squares problem solved incrementally, using Woodbury formula to solve the normal equations efficiently.
- CraigJPerry 10y agoNow I know how my wife feels when she asks what I'm up to...