Kalman Filter

Lecture note is organised mainly from a programmer's perspective than a mathematical perspective. At the same time, the complete derivation is included in a streamlined manner without cutting any step. This lecture note is a continuous derivation from equation 1 to equation 40. However, the algorithm in the blue box is good enough for a quick reading. More focus is given to the algorithm comparison to enable switching from one scheme to another with minimum code change. Practical challenges like computational efficiency are also compared. It is better to read the lecture notes before viewing the presentation slides.