What many don't know about Kalman Filters (and took me a while to realize as well) is that it's just recursive least squares. It is just formulated a bit diffe

What many don't know about Kalman Filters (and took me a while to realize as well) is that it's just recursive least squares. It is just formulated a bit differently such that incremental update complexity depends of the dimensionality of the observation, not the dimensionality of the estimated state. Depending on the dimensions this can be a lot more efficient.