Reflecting on the Meaning and Evolution of the Entities in the Kalman Filter Algorithm

We have explained and stated the computational steps involved in the Discrete Kalman Filter algorithm (Equations 6.33 to 6.39). We must now stop to reflect on what is the expected benefit of the algorithm and the interpretation of its variables and parameters, as the algorithm is applied iteratively. This will be a good preparation for the development of a block diagram of the algorithm and a MATLAB implementation for it, in the next chapter.