6 ms·
Both the Bayesian perspective and the optimization perspectice are legitimate ways of understanding the Kalman filter. I like the Bayesian perspective better.
by eutectic 3y ago
Both the Bayesian perspective and the optimization perspectice are legitimate ways of understanding the Kalman filter. I like the Bayesian perspective better.
- jvanderbot 3y agoForgive me, I'm thoroughly confused by that dichotomy. How are they different? Approaching from bayes rule or a "maximum likelihood" approach produces the same results. The problems of the filter are present in both.
- eutectic 3y agoWell, the derivations are different, and your comment seemed to imply that the maximum likelihood perspective was easier to understand.
- hgomersall 3y agoThe result is identical, the understanding is different. I would suggest that the Bayesian perspective leads to insights like the UKF [1] which IME is all round much better than the apparently better known EKF for approximating non linear systems. [1] That is, it is generally easier to approximate a distribution than a non linear function.