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02-Sep-2020 23:09

Let’s look at the landscape we’re trying to interpret.

We’ll continue with a simple state having only position and velocity.

But if we use all the information available to us, can we get a better answer than either estimate would give us by itself?

Of course the answer is yes, and that’s what a Kalman filter is for.

And that’s the goal of the Kalman filter, we want to squeeze as much information from our uncertain measurements as we possibly can!

This correlation is captured by something called a covariance matrix.

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Our robot also has a GPS sensor, which is accurate to about 10 meters, which is good, but it needs to know its location more precisely than 10 meters.The GPS sensor tells us something about the state, but only indirectly, and with some uncertainty or inaccuracy.

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