darrenjiang13/kalman-filter

This is for learning Kalman Filter

Kalman-Filter

This is a document written by me to help understand Kalman Filter.
In some books like Probabilistic Robotics, Kalman Filter is introduced and derived in a probabilistic way. In this document, I am going to introduce Kalman Filter with control-based knowledge.

What you will see in this document:

1. How to understand Kalman Filter with the concept of observer;
2. With the control diagram of Kalman Filter, how can we derive all five Kalman Filter equations;
3. A practical example of IMU sensor fusion using Kalman Filter
4. How to derive Extended Kalman Filter

To be continued:

1. Example of Extended Kalman Filter:EKF-Slam