Question

explanation to Karlman's filter's derivation in Gilbert strang.

Answer 1

Kalman filter.

Answer 2

i wrote it a bit late, excuse the typo.

Answer 3

Ok I used to work a lot Kalman filter but have to remember that. so already can't explain exactly.

Answer 4

Is it possible to describe the beginning where they describe the block matrices, alone? i have an exam day after, and i am trying to make some sense of it. thanks in advance.

Answer 5

I guess OCW has a lots of lectures about derivation in Gilbert Strang.
So that's better search in that site I am sure you will find it out.