Kalman filter

Definition: A Kalman filter is a mathematical algorithm used to estimate the state of a dynamic system based on noisy measurements. It is a type of recursive filter that updates its estimates of the state and its uncertainty over time as new measurements are obtained. The Kalman filter is based on a probabilistic model of the system, where the state of the system is represented as a random variable and the measurements are also subject to noise. The filter estimates the state of the system by combining the predicted state based on the system dynamics with the measurement information, using a weighted average that gives more weight to measurements that are more reliable.

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