Kalman Filter, a Least Squares Problem [work in process]

----------work in process------------ Prerequisite Familiar with Kalman Filter is nessesary.FamiliarMatrix computation. What's in this article? This article shows Kalman Filter is a Least Squares problem. Using the least squares interpretation, we can answer some questions easily. e.g. How to tune the covariance of a Kalman filter? How to learn the prediction function? 1. Kalman Filter … Continue reading Kalman Filter, a Least Squares Problem [work in process]