Proof that the Kalman gain minimizes the generalized variance
Eviatar Bach · arXiv (Cornell University) · 2021
The optimal gain matrix of the Kalman filter is often derived by minimizing the trace of the posterior covariance matrix. Here, I show that the Kalman gain also minimizes the determinant of the covariance matrix, a quantity known as the generalized variance. When the error distributions are Gaussian, the differential entropy is also minimized.