Wow this is a far superior explanation of Kalman filters than the one I got in grad school. This should be a video.https://twitter.com/datascifact/status/740925833725018112 …
You familiar with LQG? The estimator half is a Kalman filter. Google that. Very basic in control theory. Maybe useful for you.
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I guess it's closer to sadness from finding yet another thing i thought i thought of turning out to have a name and known since the 60s
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precious snowflake. If you want more difficult unsolved problems I have ~30 papers on nonlinear stochastic control I can send - Show replies
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