A Step by Step Mathematical Derivation and Tutorial on Kalman Filters
Hamed Masnadi-Shirazi, Alireza Masnadi-Shirazi, Mohammad Amir Dastgheib · arXiv (Cornell University) · 2019
We present a step by step mathematical derivation of the Kalman filter using two different approaches. First, we consider the orthogonal projection method by means of vector-space optimization. Second, we derive the Kalman filter using Bayesian optimal filtering. We provide detailed proofs for both methods and each equation is expanded in detail.