Kalman filter for Beginners-Part I

Many people who have not had their formal education in Artificial Intelligence, find Kalman filter
very hard to digest. And after reading lots and lots of articles regarding Kalman filters trying to
download various books in Artificial Intelligence, people are finding it difficult to understand this
Artificial Intelligence Algorithm, everytime I ask them, they usually say me, NOT YET GUYS,
NOT YET.
Fine, how different will be this post, what is new in this? Will I be able to code my own program
using this algorithm? The answer is YES. But it might take some time, I am going to post a series of
articles regarding this AI algorithm.
Let me go by definition, Kalman filter is an optimal recursive data processing algorithm, It can use
almost all information regarding a particular aspect and take decision with respect to the inputs
given to it.
As always let me go with one example, Assuming a man travelling in vehicle, by giving the
distance he is going to travel, speed at which he is travelling, current acceleration, road conditions
available for the destination, and telling whether highways or city ways, Kalman filter will be able
to take into account all of these factors and will be able to predict at what time will you be able to
reach destination, Its not the case you will need many factors, it will work even with one or two
factors as input and give predictions based on the given input.
Let me start with 1-D Kalman filter, will go step by step to High dimensional gaussian( High
dimension Kalman Filter)
Let us see a bit about Gaussian Distribution which is continuous and uni-model distribution.
1.0

= 0,
= 0,
= 0,
= 2,

0.6

, (x)

0.8

2 = 0.2,
2 = 1.0,
2 = 5.0,
2 = 0.5,

0.4

-3

-2

-1

0.2

0.0
5

Gaussian distribution sums at one point and becomes asymptotic after some intervals. Let me
2

introduce two terms along with this

where,
u-

f` (x)=

1
e
2

(x )
2
2