3 ms·
Understanding what the Kalman filter does and how it does it can be intuitive. Understanding that it can all be done efficiently with matrix operations: also in
by murbard2 10y ago
Understanding what the Kalman filter does and how it does it can be intuitive. Understanding that it can all be done efficiently with matrix operations: also intuitive. Getting a good intuition for the specific update equations? Still beats me. I'm a quant/statistician, I focus on filtering. I've implemented this a dozen time and I still have to look these equations every time.
- soVeryTired 10y ago100% agree. One useful exercise (once you understand all the algebra) is to show that when your measurement noise is extremely small, your estimate is just your current observation. Then show that when your dynamics noise is small, your estimate is just your prior prediction. Easy enough in one dimension, surprisingly hard in several dimensions. Even after all that, could I explain what the Kalman gain is to a ten year old? Not a chance.
- murbard2 10y agoBonus points, give an intuitive explanation for why it is the dual of an LQR control problem.