Kalman Filter from the Mutual Information Perspective
Reviewed by Pith T0 review T1 audit T2 compute T3 formal T4 kernel pith:LMJD2PRMrecord.jsonopen to challenge →
classification
cs.IT
math.IT
keywords
filterkalmaninformationmutualperspectivestatebayesianbest
read the original abstract
Kalman filter is a best linear unbiased state estimator. It is also comprehensible from the point view of the Bayesian estimation. However, this note gives a detailed derivation of Kalman filter from the mutual information perspective for the first time. Then we extend this result to the R\'enyi mutual information. Finally we draw the conclusion that the measurement update of the Kalman filter is the key step to minimize the uncertainty of the state of the dynamical system.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.