When I started doing my homework for Optimal Filtering for Signal Processing class, I said to myself :”How hard can it be?”. Soon I realized that it was a fatal mistake.
The whole thing was like a nightmare. Nothing made sense. The equations were composed of some ridiculously complex superscripted and subscripted variables combined with transposed matrices and untransposed some other stuff, which are totally unknowable to most of us.
And then, instead of aiming for the homework, I decided first fully concentrating on Kalman Filter itself. This article is the result of my couple of day’s work and reflects the slow learning curves of a “mathematically challenged" person. If you’re humble enough to admit that you don’t understand this stuff completely, you’ll find this material very enlightening.
So, enjoy it!